Just FYI - You can use the 'Stack' feature if you like. You need to select the files in reverse order. i.e. last section first. Then right click and choose "stack". When playing stacks, you need to click the "Play Stack" command, not the regular 'play' button. I haven't tried the 'link' method, as I no longer have multi-part vids.
Of course, joining the .mkv's is best of all, but if someone had lots of multi-part movies, it does offer the ability to play them seamlessly.