Yes, the post and thread admin capabilies for XF are quite different than vB's, and there is an initial learning curve for moderators to grasp and then master them. In the end, the way that XF does it is more powerful, but it often takes powering through this "learning curve" for people to grok it. Then they see and realize it's a better way.
As said, just select the threads you want to merge, and the "admin" functions sub-menu will make that function available. Then it is executed via the "Go" button at the bottom of the screen.