It looks like they are merged already in that screenshot.
“Merge All Windows” is no longer available because the borderless window frame used for Scapple in macOS 11 and above is incapable of displaying tabs. Apple may fix it in the future but it looks as if they intend to persist with this look
You can find more information under Suggestions and Improvements on the Scapple bug notes page on our forum. https://forum.literatureandlatte.com/t/scapple-for-macos-1-4-1-bug-notes/92643