The most likely explanation is that the workbooks were not saved from the same original file.
In order to use the feature you must create an original Shared workbook. The additional files must be cloned from it using Save As. IOW, the feature cannot be used on separately created files no matter no 'identical' they may appear to be.
Further, the original must be designated as a Shared workbook before creating the clones. if the Save As is done before the original is Shared the copies cannot be used for merging.
Accordingly, the tool will not be active, nor will the Merge Workbooks command in the Tools menu unless those conditions are met.
My impression, though, is that this is not the feature you want to use in the first place. It's intended for updating an original based on changes made in the clones. Typically, that means that the incoming data will overwrite the content in the original.
It sounds like what you may be intending to do is to combine the sheets from various workbooks into a single workbook file but maintaining the integrity of each sheet. If that's the case it would be more appropriate to use the Move or Copy feature to move or copy sheets from one workbook to another. See: