Merge All Windows??

On a Mac, if Dorico is in full screen mode and I open another file, both appear in separate tabs that I can click between them without having to go to Window and tick select which window is in focus. However, sometimes this doesn’t happen and I get two separate windows i.e. I can drag one to a 2nd monitor. If I want to combine these separate windows into one with tabs, how do I do it. The Window…Merge All Windows command does nothing.

Is this a generic Mac thing or specific to the Dorico app?

This is a macOS feature rather than anything specific to Dorico. Please refer to this Apple support article for help with this macOS feature.