Cuffmerge and all of the other Tuxedo tools are deprecated and should be avoided. The tools may not even fail, but produce odd results that are difficult to detect.
That said, for this specific case, and assuming the function is intact (it may not be) – my guess is that you are entering the inputs in a way that creates separate jobs instead of one single merged job.
Older Q&A about these tools can be found in the searches below if you are willing to tolerate/troubleshoot potential problems. Because of so many unresolved issues with deprecated tools, we can’t help troubleshoot – any functionality could be impacted (technical or scientific) the wrappers will not have any more changes. They are available for convenience reasons only and are expected to be removed from the ToolPanel entirely sometime in the future: Searching the Galaxy && Search results for 'cuffmerge' - Galaxy Community Help
What to do? Update your analysis workflow to use currently supported tools.