Currently, the feature doesn't support combined orders, but the Combine Orders button in Setup > Shipping says this: Combine orders into the same shipment: If this option is enabled, when mass buying labels, only a single label will be bought for orders with the same address. Also when mass printing packing slips, the orders will be grouped for the single shipping label.
This text reflects that fact that combined orders was originally supposed to be included, but was not actually released.