MACHINEGUN  Ah okay. I've figured why it doesn't work. It will not overwrite if you have a file of the same name in the same folder (unless you've registered?). Also, drag only ONE file to concat. What messed me up was that I dragged all the segments. Works great after I stopped being an idiot.  
(Version 3.0)

MACHINEGUN  I find that it doesn't work with Snow Leopard as well which is weird because this is supposedly a Snow Leopard release. I thought the files were bad at first, but then I concatenated them in Terminal and that worked perfectly. Hope there's a fix soon.  
(Version 3.0)

MACHINEGUN  That's a feature in iChat itself - not in Chax. Go to Preferences > Messages and then check the Collect all messages in a single window option and there you go.   
(Version 2.1.1b2)