You can Manually Break and Join segments if performing a Merge is not giving you the expected result.
Hold down the CTRL key and click on each of the overlapping objects.
Click the Break button to break the segments where they intersect with another segment.
Delete the segments no longer needed.
Manually Join the segments as desired.
Select Close to Close the Objects.
The Close tool will connect the remaining open Segment of an object to complete the Circuit in Trace.
This is usually the last step after Joining the segments if they do not automatically join after the Join command.
Break
Edit > Break All Intersections
Join Segments
Edit>Auto Join Segments
Auto Join Segments
Close