My combined document will not download, why?

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Hello,

I know it is always stupid, I admit it, when I have to say "in my CC it works."
Please have a look at the options and there in particular the paragraph (translated from my German CC) "continue merging to errors" (see screenshot):

By using "Drag and Drop" I combined some files from different directories by the help of my file manager.

Hans-Günter