Sometimes when you merge multiple features, by holding SHIFT, then selecting features, then clicking merge, you will expect to see a single feature with a border around the outside:
However, sometimes your project does not always end up as you expect.
If there are roads, rivers, streams or ever just gaps in the original data, you may see multiple lines throughout your project.
To correct this:
Click the Draw button and choose Area.
Draw an area that covers all the gaps and lines that you wish to remove, and click Finish.
Then click the outer boundary, then click the merge button.
Zoom in to an area when you can see the newly drawn area (it cannot be overlapped by the overall boundary).
Then click the new shape.
The boundary and the new area will now have merged.
You will now have one single boundary shape.