When combining multiple files, can I generate a bookmark for each file?

I'm combining 60 small PDFs into one large PDF.  In the combining screen, it shows a column called "Bookmarks" and each file has its file name listed in that column. When I create the actual file however, no bookmarks show up in the bookmarks pane. I have "Always create bookmarks
" checked in the options dialogue.

Any tips?

Thanks in advance for your help.