Is this a mistake in the manual ? (or me being thick again?)
3. Some text boxes may need merging. e.g. Inﬁx may split a column of text into separate boxes for headline, body, headline, body etc. . In this case use the Object tool (blue arrow) to drag a box around these boxes, then choose Text->Text Box->Merge Vertically to ensure they become one single box.
I think that it is the 'text edit tool' and not the Object tool (blue arrow) that activates the 'merge vertically' tool.
It seems to be on my version anyway
To merge text boxes you do need to use the "object select" tool to select the boxes and merge them as stated in the user manual. If you drag a box using the text select tool, this will just create a new text box.