Starting with a pyramid on top of a cube, selected all, and click merge by distance with an appropriately small distance with the intention of merging the points at the base of the pyramid and top of the cube:
As you can see, 13 verts selected and zero merged.
Now if I increase the merge distance to the point where it may merge multiple points on the same mesh, I get this:
So merge by distance IS working, it just doesn't want to be the tool that combines meshes. Why?
The merge by distance work on single mesh data only. It doesn't need to be connected, but at least same mesh.
Usually you will need to join two meshes first and then merge doubles vertices. As an user dominant program, Blender should not do anything that user was not expecting for. It could be a good feature to make an option in operator. But multiple meshes editing is a new thing in 2.80, this is a new use case that developer need to consider.
So you might want to file your request as described here
