If not worked, select the cells which needs to be merged and click “Merge & Center” option for the first time, and then the above shortcut will be enabled.
There is a pretty workaround in excel 2007, 2010 , and 2013, you can put the command yo want in the quick access bar, but better put them at the beginning.
Now when you press ALT key, a number will appear below the icon in the quick access bar, as in the attached photo.
Just Press Alt+1 to ru the first command, Alt+2, to the second, and so on
In your case, if you put the Merge cell in the first position, you can apply it by pressing Alt+1.
If you want later to change this, just edit the quick access bar to change the order of the commands.