Merging weapon VFXs is a bit different. The this thread for instructions.

Step 1: Exporting

1. Select one of the VFXs in the "Data Source" field
2. Navigate to the "Timelines" tab
3. Click the save icon to open the export dialog
4. Make sure "Export dependencies is checked"
5. Select all of the timelines
6. Click "Export" and save it as a .vfxedit file

Step 2: Importing

7. Select the second VFX in the "Data Source" field
8. Navigate to the "Timelines" tab
9. Click the plus icon, and then "Import"
10. Select the .vfxedit file you created in step 6

Step 3: Merging

11. Navigate to the "Schedulers" tab
12. Create new items for each of the timelines which you imported (Otherwise, they will not be spawned)