Britishrich,
You can't join enties which are not in the same chain. There is a setting in the SETUP MENU, connection line tolerance that you can set. If you go up in the tolerance ( like .001 to .3) it will then use that setting when importing, to think that any line within that distance should be connected so it will include it in the created chain.
See attached PDF and file to fool with.
Now this is a double edged sword, since if you have a lot different machining on your drawing, it can cause problems elsewhere. But then you wouldn't do that because you would set up your drawing based on how you want to machine the piece ( in the manual ).
Now just before you go off to try that $1500 Mill program, well i did with this drawing, and it failed bitterly, becuase it's "importer" didn't know what to do with them either. Of course it sends you off to the CAD program to define what you want, split it up, or fix it up.
Hope this helps,
The poor RICH