Hi Nigel,
I just created a new document in Word 2004. I typed in one line of text then inserted a page-break section, and typed text on the second page.
When I print, and save to PDF, it generates one PDF document with 2 pages in it.
I have routinely saved-to-PDF larger 20 or 30 page Word documents with multiple sections, and they have saved to single PDF files.
Have you installed something different or extra to allow PDF generation?
I am currently using Leopard, but this also worked the same in Tiger and probably earlier.
As a work-around, open one of the PDF files in Preview, open the side tray (if it's not already) and drag the other files into their prospective locations in the tray. Then save the PDF and they'll all be in one file.
David