If you look at the help you do indeed see and Edit > Merge for curves,
however it seems to be for when you import a curve from another part or
something.
If you can do it for that, though, there must be some way to do it within one
part.
Anyway, at this point I would be content just knowing how to "splice" or
connect two spline curves in sketcher. Knowing that'd be enough to get this
thing I need to get done in the immediate term.