When you split a wall will result 2 connected walls.
So, on your operations you've selected 2 connected walls and that's way the Join walls doesn't appear.
The selected walls IS already connected.
The Join walls or Connect walls make a new connection, don't remove an existing one to make a single wall.
Sample:
Draw 3 connected walls in an U shape (|__|).
Select the middle one and split it in two (|_ _|).
Delete one of the new walls, let's say the left one (| _|).
Select the remained wall and the first wall (| _|) then right-click and Join walls.
Will have to result back (|__|).