That is exactly what I did. It does nothing. Left mouse box around all armies does not bring up any window. Nothing happens. I can select the armies individually - that's all.
I'm using the latest linux version of the game, through steam for linux, no mods installed.
Is there a game mechanic limit on army size that is perhaps dependent on marshall ability? I ask because in a different scenario I at first had the same problem; then I was able to merge two armies after switching the leader of one of them (to a higher-marshall-ability courtier; the other general in the combined army is my dynastic leader.) After that the left-mouse-drag opened up the window as described and I was able to click the "merge armies" button.
However, my third levy is now stuck in its home province. It has no leader listed in the tool-tip pop-up and cannot be selected. Left click, right click, box, clicking on shield, nothing has any effect. I can see some tool-tip informatin when rolling over it with the mouse but there is no way to open any kind of window or interface to do anything. I cannot even disband it. I can think of two possible problems: 1) my Marshall is currently busy (several months before new job possible) and he was the commander I switched out for a different general - is he somehow "stuck" as the army leader of this third levy and the army has to wait for him to be ready? 2) Is there perhaps some limit on the number of troops you can command at one time, based on overall leader military traits?
I have the same problem with fleets. I had 3 fleets. I managed to merge two together (with armies embarked). They are 16 ships in total. I have 3 ships left over, in the same body of water. When I left-click-drag, I do see the two fleets together, and I see the "merge fleets" button, but it is greyed-out and clicking it does absolutely nothing.
Is this a bug, or some game mechanic that I am missing? Is there some mechanic that prevents me having a single fleet above a certain size? Is there some mechanic that prevents me merging an army above a certain size?