iTextSharp can manipulate and merge PDFs. It doesn't watermark but it does cost money if you're building a commercial product. The PDF format is not an open source format so companies that provide libraries for it generally have to pay the owner of the format (Adobe) and they tend to pass the cost on.
To convert from XLSX to PDF have you considered just printing the file to PDF? I haven't checked a clean Windows install in a while but every version of Windows I have provides a printer to print to PDF. So the easiest, non-third party solution, would be to print to PDF. Of course printer settings and whatnot could add their own challenges to the mix but I suspect you'll have to handle that anyway.
Another thing to consider is whether XLSX to PDF is actually the best choice. Do you have to use XSLX or can you just generate the PDF directly from the data that is being used to build the XSLX? Is this a report and, if so, does the data come from a database like SQL Server or something? If so then perhaps you should look into a reporting library instead that allows you to generate a PDF directly. This would give you more flexibility in the PDF look and feel in my opinion.