If you wish to use Auto Merge, shown below, you must specify a merge Tolerance. Fidelity Pointwise will then apply the Connector-Connector, Node-Node and Node-Connector pair merging operations all at once with that tolerance to try to create a watertight mesh.
Tip: The Merge command only operates on visible connectors. Therefore, you can assign connectors that you would rather not be merged to a new layer and turn it off to prevent them from being merged.