There’s no way to combine reservations without cancelling all three and rebooking. You can always split, but never combine.

Overall I wouldn’t worry about it - just make sure to bring them in the same lines as you and if anyone asks, you are traveling together. As a family you shouldn’t have any problems.

I also would keep a close eye on the seats to make sure they stick. The agent probably “linked” the reservations, but in reality that’s just a note in the internal remarks.