Problem: Merge does not merge all selected disjointed features
The Merge command fails to combine all selected features into one single feature when the selected features are disjointed (don't touch at a boundary or end point).
If the attribute table is open when the Merge command is clicked, not all features will become parts in the new feature.
Solution or Workaround
To create one multipart feature that contains all selected features as parts, make sure the attributes dialog box is closed when you run Merge.