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The objects now comprise one object, as you can see in Select mode.
You can also first select the objects, then activate Join Polyline and immediately select Finish.
Local menu options:
Delete Original Objects: Removes the original segments, leaving only the polyline.
Auto joining: Automatically selects all objects connected to the selected object. This option must be active before selecting any segments. You can select any object in the chain, not only the first or last object. If more than one segment branches from an endpoint, the chain will stop. 
3D Polyline: Enables you to include objects located on different workplanes.
