I was having the same problem, but I luckily figured out what it was. Maybe you are having the same issue I was.
Say I have Doc1.pdf and Doc2.pdf. Doc1.pdf has two pages and Doc2.pdf has three pages. I want Doc1.pdf to contain all five pages.
When I was dragging the Doc2.pdf into the sidepar of Doc1.pdf, I wasn't seeing the plus sign, I was only seeing a horizontal bar.
This meant that it would display the docs as one, but wouldn't save them. Another way you can tell that you have done this is if the doc name of the source doc (e.g. Doc2.pdf) is showing in the sidebar of the destination doc (e.g.Doc1.pdf):
Also on the title bar it says something like "(2 documents, 5 total pages)". When I had something that looked like that, there wasn't any way to save them into one doc that I could find.
What I needed to do was drag the doc actually onto the last page of the original doc, so I saw the plus sign and there was a grey highlight around the pages of the doc in the preview pane. There is still a horizontal bar. It looks something like below, except my (free) capture program isn't showing the green plus sign. but anyway, the green plus sign is on the second page, near the bottom.
When you've done it right, only the destination doc name shows, and underneath it, just page numbers:
Also, the title bar just says "(page x of y)" nothing about documents.
I hope this is helpful. I found the knowledge article confusing, too.
--Jen