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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: 

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Delete Original Objects: Removes the original segments, leaving only the polyline.
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*Au AnchorXy2D108745Xy2D108745to 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.
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AnchorRy2D3DPolylinePolyline3DTRy2D3DPolylinePolyline3DT{*}3D Po Anchor

Ry2D3DPolylinePolyline3DRy2D3DPolylinePolyline3Dlyline:* 3D Polyline: Enables you to include objects located on different workplanes.

AnchorRy2D3DPolylinePolyline3DPRy2D3DPolylinePolyline3DP Image Removed