You can find the Merge documents into a PDF option inside the Utilities tab.
Opening the utility will bring up a window that looks like this, with the file explorer on the right, and selected documents on the left.
List of files to be merged - Select your desired files using the File Explorer on the right, these files will then appear in this list. Note: The order of the list is the same order they will appear in the PDF.
If you select a document in the List of files to be merged you can then interact with it using the buttons on the side.
Up - Moves the file up the list.
Down - Moves the file down the list.
Remove File - Removes file from the list.
Save location - This will default to the location you selected your last file from. If you click in the field you can then either type the correct path or use the File Explorer to select the destination.
View PDF document - This setting is on by default. If selected the PDF document will open once the merge has finished.
Merge - When ready click Merge and the process will begin.