Ok .... I just re-created your error message, using two different films in join mode.
The message was "No DVD titles found in this source directory that can be appended seamlessly to the latest title set".
Could it be that your disk 2 contains all the extras and not just the second part of the film ?
If so try try the non-seamless option, this will create another title set i.e VTS_02, but will still carry on playing after a fairly short pause.