I had exactly the same problem.
For what I have seen, it seems to be impossible to “glue” together files that have been already divided, so you have a few options:
1)Turn on the Ripple Tool (it is the icon on the top, with 2 boxes, and a green arrow pointing to the left. My program is in spanish, so I dont know how the tool is called in english). That tool has different options, but one of the most-used is the one with which you insert a new event, and the WHOLE project moves to make space for it.
2)The other option (which you can combine with the first one) is to make groups. To make a group, select all the events you want to group together (INCLUDING the sound of each event. If you dont select them, they will SEPARATE from the video when you move the group!!!) by CTRL+CLICK´ing each event.
After that, click G to group them, so they move as if they were one, or in case you change your mind, you can degroup them by pressing U (beware, this may separate the sound from its video. In case that happens, group the video with its audio again with G.).
In case this turns useful for you, please respond back 😀
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