I merged two videos together

Sounds like you didn’t actually stack the files but had Plex recognize them as different versions? You should be able to confirm this by checking the duration displayed for the item… if it’s only the duration of the 1st file, the files aren’t “stacked” (considered to be the same movie and to play sequentially).
Stacked files will play continuously in sequence without user interaction. Keep in mind not all clients support stacked files – it’s generally recommended to actually merge/append the files (e.g. using MKVToolNix)

How exactly did you name both files inside your library folder?