Node merge finds coincident nodes that are created when two bodies have coincident faces or edges, and discards one set and reattaches the elements on one face to the nodes on the other face, thereby connecting the two bodies as if they were united in CAD. There are just nodes connecting elements. This is a Mesh operation under Mesh Merge.

Bonded contact takes two faces or edges and creates extra Contact elements to connect the nodes on one face to the nodes on the other face. The nodes don't have to be coincident. This is a Contact under the Connections folder.

Other types of contact allow relative motion, which you don't want for this model.

Don't use All Bodies in the selection for the Node Merge Group.  Select the bodies you want to have the nodes merged in. Use the Edge Color set to Connections to see the merged nodes in Purple.

Add Bonded Contact under the Connections > Manual Contact Region. Pick the edges on one body for the Contact and the edges on the other body for the Target. 

On the Display tab, use the slider to Explode the parts to make it easy to pick the edges on the two bodies.