The Join pieces into a new piece function allows you to join two/more pieces that have overlapped areas, to create a single piece. In order for you to be able to apply this function, all the pieces selected to create a new piece need to have an area where they are overlapped.
Select the two pieces that will be joined.
Select and place the pieces in the joined position (can be easier if you snap two main points).
The result after the function was used.
In the case of the graded pieces, the grading rules of the points newly-created result from the intersection of the graded contour on each size.