Hello Francesco,
the merge command has no icon/button in moi, it seems that you have used the join command. That will copy the edges and join the copy together - not that what you want.
So hit the tab button of your keyboard - the cursor will jump into the field where the coordinates normally are displayed (lower window border in the middle). Now you can type commands here- in this case merge - close with enter.

Give your keyboard a chance;-)
- Karsten