Why is there no right click to combine files in Finder?

I am a Mac user so I can't speak with assurance about Windows but I'm going to guess that that was a Windows' feature not an Acrobat-based feature.

Remember that a number of years ago Adobe gave up rights to the PDF format to make it an ISO standard. When they did that they allowed anyone the choice to do what they wanted with the format as long as it followed the ISO format. What has happened over the years is that some do follow it very close and other follow it not so much. However, Adobe follows it to the letter. (Which is why using Acrobat is often the safest solution.)

Meanwhile, there are many ways to combine files in Acrobat but all of them do require you to get into the Acrobat application.

Besides the way you found, there's also the option of opening up all of the documents you want to combine and open them. Then from the File (menu) select the Create then Combine option.

and from here you can combine all open documents or drag them into that screen.

In addition, if you have the Tool "Organize Pages" open you can add pages (Insert) , change the order, and a number of other operations.

Admittedly, non of these provide the action that was available in Windows, I (for one) have no problem with Acrobat dealing with Acrobat documents, Word dealing with Word documents, and the Finder (or Explorer) dealing with file management operations.

Hope some of this is helpful to you.