Hmmm. Probably because the audio program comes across some code in the merged wave file that it considers to be the end of a file, and so it stops playing it at that point, essentially ignoring everything thereafter.
Google showed me this
page of audio tools, one of which (wavbreaker/wavmerge) seems fairly promising.
I'm sure that mencoder (part of mplayer) could do this too, I just don't know how.
edit: or just use audacity as pusrob suggested