First, I faced the same problem that everyone had in the forum. I could not merge vertices of the dome and cylinder. It kept saying no vertices has been removed. It appears I added cylinder in object mode, therefore, could not merge the vertices of two separate object. I found the solution here.
Now, I know that,
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If it is the case, ctrl + J command makes two separate objects one object. Then merge by distance works.
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Alternatively, adding all the objects in edit mode works perfect as well.