Are you using ctrl-click to select the second file? Or the shift key and up or down arrow?
Do you remember when you imported them were you asked if you wanted to keep them together? I don't know if it makes a difference, but I don't have any .vob files to try.
I just saw the dialogue and it asks if you want to merge them on import, which can be done "if their properties match". Do the properties of the .vob files you are trying to merge match?