It is when meshing a compound with the Transfinite algorithm. Otherwise, when there are multiple parts meshed with Extrude, Revolve or Sweep algorithms, you can use the Merge nodes tool after meshing.
In this case, you may have to disable Transfinite 3-sided faces and Transfinite 4-sided faces settings to achieve that but then the mesh won’t be structured.
Or use Sweep instead of Extrude and select Quasi-structured quad.
They don’t have to be perfectly coincident (the Merge nodes tool has a tolerance setting) but indeed they should be at least approximately coincident and you need to enforce matching numbers of elements on the common edges (using meshing parameters and local refinement).
Gmsh doesn’t have the sweep algorithm, it was developed independently in PrePoMax (although it’s based on Gmsh’s quad meshing) and it happened quite recently so it may still be improved in the near future. Feel free to create a feature request in the “green” section of the forum.