Unsure about the possible reasons for the error message, you may:
1) Place the curved end paths where you want them with the desired distance,
2) Delete the rectangle,
3) Delete the straight segments of the end paths (just click each segment with the Direct Selection Tool,
4) Still with the Direct Selection Tool select the top end points and Ctrl/Cmd+J to join them,
5) Repeat for the bottom ones.
If you get an error message in 4) and/or 5), you probably have Anchor Points on top of each other.
You can skip 3) if you just create the end path as open paths in the first place.
define "join"... The join command in Illustrator takes 2 points and connects them. If you have 3 closed paths, there are no open points to join.
Are you looking to move the objects together so that there is no space between them? If so, look at your align panel, make sure it's all the way open (click on the up and down arrows to the left of the name) select all 3 objects, make sure that "distribute spacing" is set to zero, and click on the Horizontal Distribute Space button (the one on the right).
Are you looking to have them behave as a single object that is spaced as shown in your screenshot? Select them and go to Object -> Compound path -> make
Thanks guys. What I ended up doing was I moved the objects close together than I used the "merge" command in the pathfinder. I wanted them all to be combined into one shape. Would using "Object -> Compound Path -> Make" or Unite have been better? Merge seemed to have gotten the job done, though I think it put in an extra anchor point where there should not have been one.