The following works (sort of) with Audition 1.5...
In "Edit View", select File/Open Append. From here you can select multiple files by control-clicking, and when you press Append, all will be concatenated. Cue points will indicate which part of the result came from which file.
The trick is getting the sounds in the right order. I've found I have to control-click the files in the reverse of the order that I want them listed. And of course, if you make a mistake, you pretty much have to deselect everything and start again from scratch.
Shift-clicking a range of files may work if they are numbered. Again, you probably need to use reversed order - click on the item you want last first, then shift-click on the item you want first.
Since you have to select the order that you want them at some point or another, you may find that this approach isn't much help. I'm sure it can't be the best way, but it's all I can think of ATM.