Just a hint: if any of the posters with problems happen to be running OS X in another language than English, the AppleScript will not work, as it searches for the relevant menu item by name, which, of course, is localized.
If that is the case, the fix is easy: check your Finder and see what your window menu is called, and what the menu item to merge windows is called, then replace the second and third argument of the click_menu call on line 2 of the AppleScript action of the workflow by the localized versions.
For instance, for German, replace
click_menu("Finder", "Window", "Merge All Windows")
by
click_menu("Finder", "Fenster", "Alle Fenster zusammenführen")
