Hi Thomas,

there are several ways join sequences preserving annotations.

First option is to export merged sequence to single document.

Select your sequences in Project View and call context menu item Export sequence.
In appeared dialog set your file format to Genbank, set box Export with annotations checked and select radio button Merge sequences.
Detailed documentation of this option can be found here.

Second option is to use Coning In Silico.

Call menu Tools->Cloning->Construct molecule.... Use button From project to add sequences, which you wish to join. Add them to new molecule contents using buttons Add or Add all. After that check option Force "blunt" and omit overhangs. Additionally you can uncheck option Annotate fragments in new molecule.
More documentation on this option can be found here, but I think it's a bit outdated.