Exporting CAD files to neutral file formats can lead to translational losses. Moreover, CAD software generally uses loose tolerances while creating the models as compared to the tolerances used by Mechanical. So something you see as coincident in CAD might not be actually coincident in Mechanical as you are seeing.
Solutions can be as follows:
1. Use tight tolerances in CAD. I do not know if it is possible for the specific CAD that you are using, but it is possible in some other CAD softwares
2. Use native CAD file using CAD-Workbench connection instead of using a neutral file format such as iges step or Parasolid
3. Use ANSYS tools such as DesignModeler or SpaceClaim to make the edges coincident
4. You can also use Mesh connections in the Mechanical to connect the mesh nodes after generating the mesh using Mesh Edit tools