How do I merge posts on different pages? When I select one and change page, it automatically deselect previous one...

I would suggest testing this on a default unaltered theme, with no 3rd party items enabled. The software will actually select on 2 or more pages of a post. If it is not and you have tested in this manner, I would need an example on your site I can take a look at

I have never altered my themes. I will prepare access for you and get back here.

This is unreal and unbelieveable. I just tried again and it selects just fine after switching page. Either something was up or I am going crazy.