Google Docs can only copy comments when you copy the whole file: click File > Make a copy and tick Copy comments and suggestions. Copy-pasting text never brings its comments along. To copy comments into another or an existing Doc, use an add-on such as Merge Docs Pro with its Copy comments option.
Google Docs' own ways of combining files, copy-paste and document tabs, drop every comment. To merge two or more Google Docs with comments, use Merge Docs Pro: open Extensions > Merge Docs Pro > Merge Multiple Docs into One, tick Copy comments from source documents (BETA), and select the Docs.
To merge reviewers' copies of the same Word document with their comments and tracked changes, use Review > Compare > Combine, picking the original and one revised copy, then repeat for each extra copy. To merge different Word documents and keep their comments, upload them to Google Drive and merge with Merge Docs Pro's Copy comments option.
To merge Markdown files and convert them to PDF, run pandoc 01.md 02.md -o merged.pdf, or upload the .md files to Google Drive and merge them with Merge Docs Pro with Save merged Docs as PDF ticked. Google Docs can also open and export single Markdown files, and a free online merger joins .md files.
To merge Word documents in Google Drive without Microsoft Word, upload the .docx files to Drive, open Merge Docs Pro from the Extensions menu in Google Docs or Sheets, select the files, set their order and click Merge Docs. You get one Google Doc that you can download as Word, PDF or EPUB.
Google Docs can't export several separate Docs as one PDF on its own. Either paste each Doc into its own tab and use File > Download > PDF document (.pdf) > All Tabs, download each Doc as a PDF and join them with a free PDF merger, or merge them with the Merge Docs Pro add-on and save one PDF.
