I was able to reproduce the problem and probably I have the solution, but normally this problem should not happen:
> Once you have selected the desired files, right click, and click "Combine in PDF-XChange Editor"
the "Combine Files" dialog box pops-up.
> In there, click the Options... button.
> In the Options dialog box, make sure to select "Copy" for the Comments option.
> Click OK and OK
1) it is not logic to me that internal hyperlinks should be seen as comments
2) in the Combine Files dialog box, whatever the number of selected files, there is always one file missing in the list.
Even though the file will be part of the resulting PDF.