Hi,
You are correct, it is not a supported feature. For this to be supported, would require deciding how to incorporate macros from multiple documents, and I’m not sure how well that would work, or whether that would be a good idea.
I would take the approach of converting to DOCX (stripping out the macros), do the merging, and then put the macros back in, making it a DOCM again. I have never written this code, but would be a matter of copying over some binary parts, creating parts with correct content types, and creating correct relationships, and probably changing the content type for the main document part. Then can change back to a DOCM, and the macros should work.
-Eric