Technically, Premiere Elements doesn't support mxf video, Acro. If you're going to edit video from a $2500 professional camcorder, you'd be best to use a professional video editor, like Premiere Pro or Vegas Pro.
Converting video is pretty iffy business. Often, unless you know exactly what you're doing, you end up making the video less rather than more compatible.
For instance, if you go to Expert view, is there a yellow orange line above the video clips, along the top of the timeline? This indicates that the program is not able to match the specs of the video -- which means you will see reduced performance by the program and often reduced quality results.
You can try trimming off that "hiccup" and then rendering your timeline (pressing Enter). But technically you're using jet fuel in a minivan, and your results just aren't going to be perfect.
Please review and consider blog post on "PE12: Seamless File Merging Before Import" and determine if this is something that might work for you and for what you describe.
Any questions or need clarification on any of that, please do not hesitate to ask.
I've got the files in MP4 now and it appears the method appends the files together, but only the first one plays - none of the others play at all.
Back to the drawing board...
Thanks for the update. Sorry that the news was not better.
If you get a chance, please give it another try. It does work.
If you continue to have problems with the approach, perhaps you could give me some details of the files that you are merging, and I will give the task a road test.
We will be watching for further developments.
Thank you for trying the approach.