This comment is not based on knowledge of how this function works inside Medusa, but just on drawing a few lines and poking around in 5.0.1PL.
It seems to be important to have the order of the points in the lines arranged so that they follow each other. For example, the first point in line 2 must be at the last point in line 1, and the first point in line 3 at the last point in line 2.
If you draw test lines as above they will join correctly for both the "connect all sheet" (whatever is selected at the time!), and for the "join to current".
If you then "undo" and reverse the order of points in line 2 (so that last point in line 2 is at last point in line 1 etc) the "connect all sheet" will do nothing. "join to current" will work although it will add unexpected extra points so that the segments remain in the same direction that they were before, and may not find all the connecting lines. Unfortunately "clear current line" will not correct this.
So, the short answer is to make sure that all points in all lines to be joined form a clear and unambiguous chain, then it will work.
I cannot get the Joinline Properties Dialog to appear though, is it part of 5.0.1 or only in 5.1?
For the future there should be a hit-radius tolerance, so that points that might be 10E-6 mm apart (for example) can be joined. I assume that Medusa 4 now uses what used to be called "high precision", even though the default sheets are the "medium precision" set (that's what the "M" in the "Type" box in the title block means).