I had the same problem. There are apparently two different kinds of PDF docs that Preview recognizes, the single-page and the multi-page.
To merge an additional page into a Multi-page is easy (see below), but I have never found out how to make Preview change a "single-page" into a "multi-page" PDF. Instead, if I want to combine a bunch of one-page PDFʻs into a single multi-page file, I go the somewhat un-classy route of making a copy of some random little multi-page PDF I have lying around, and re-naming the copy. Then I add all the PDFʻs I want to be in the new file to the renamed copy, and finally delete all of the unwanted original pages to get the merged file I want. Very gorpy, but until Apple gets some competent Human Engineers on its staff, it will have to do. And it has the great recommendation that IT WORKS!
Hereʻs how I add single pages to a multi-page file:-
With both docs open, show the sidebars of both docs. The multi-page should be expanded and show thumbnails for all its included pages, and the top (first) page will have a rotary arrow in a circle pointing to the right. If there is only one page showing, move the cursor over that page and a rotary arrow should appear, pointing to the left. Click on that arrow and it should flip to the right and all the pages should appear in order below.
Now go to the file that you want to add to the multi-page, and select the thumbnail in the sidebar. Then drag it over to the multi-page sidebar and drop it where you want it in the series of page-thumbnails (a red line will snap to where it is going). When you first drag it over the multi-page sidebar there should appear a gray box covering all the pages now in the multi-page; be sure to drop your new page within the gray box, even if you want to add it at the end - if you drop it outside that box it wonʻt be added to the multi-page but will merely show in the window.
Of course, this works for me, in the Hawaii Standard Time Zone, with OS 10.6.8 and Preview version 5.0.3 They are mine and Iʻm going to keep them forever! (hopefully, but who knows the future?)
Good luck!