You didn't post the XAML but based on the query I'd say the problem is that you don't define an alias for the concatenated column. Because of this it will have some default name.
Try the following query
string sql = @"
SELECT FilmID,
Vendor.VendorName || ' ' || Film.Model AS CompleteName,
Film.Active
FROM Film JOIN Vendor
USING (VendorID)
WHERE Film.Active = 1
OR Film.Active = 'True'
ORDER BY Vendor.VendorName, Film.Model";
and in XAML define the
DisplayMemberPath
to
"CompleteName"