This can be caused by several different things.
1. Check to make sure that the cnk file is in the correct directory. If the cnk file is not in the Great Plains directory it will not merge
2. Launch GP by dragging the dynamics.set on top of the dynamics.exe. This way we verify we are launching GP from the same directory of the chunk.
3. You have other cnk files in the directory that are causing an issue. Search for *.cnk* files in the directory. If you find any files other than the chunk file you are trying to merge, move them into another directory and try to launch GP again. NOTE: If you rename a file to SmartConnect.cnk_old, it still considers that a chunk file and will try and merge it still and throw an error.