At least two possibilities
1) the linking did not work due to account differences
2) the individual did not "link" accounts but did one of the other activities, such transfered miles -- which does not do the linking. Been a few that have reported that confusion
Best to try
http://www.united.com/combinemyactivity
or
http://www.continental.com/combinemyactivity
and see it it does something or states "ACCOUNTS ALREADY REGISTERED:"
if the later and still not status matched, call and ask for the integration team