How to use the original file names as bookmarks when combining files into a single PDF.

The combined pdf files used to automatically use the original file names as the page names when creating a new combo PDF from multiple files.  I can't seem to find the settings to make this happen in the newest version.  Did this feature go away, or did it hide in a new setting somewhere? It's really messing up my workflow at the moment so any direction on how to make this happen would be great.  A bunch of pages just names 1, 2, 3, 4 etc don't help me at all. 

Thanks.