I have DVDA3 and have read the manual from front to back and the help files from top to bottom and I still cannot set up the movies so I can skip to the next one.
Navigate into the movie - one way to do this is double click on the movie icon when it's placed on the menu. Set the end action of the movie to link and specify the link to be the next movie.
If you want to reliably be able to skip between clips, then you have to combine them into a single file before they're burned to disc. End Actions and Playlists will let you have clips play one after the other, but the Next and Previous buttons will not work reliably because End Actions and Playlists, to the best of my knowledge, leave the clips as separate titles -- and there is no standard among DVD player manufacturers on what to do when someone tries to skip between titles. (Or if there is a standard, the manufacturers aren't following it.)
So, if you want them to act as a single movie, you have to make them a single movie. Either combine them into one file outside of DVDA or use the music compilation feature. Note that if you do the latter, each clip will be a chapter, and you cannot have more chapters within each of those clips.
Another way to do it is to create a "Music Compilation" and then put the movies in that. This will give you a seemless playback, where you can still use your chapter back/forward. The downside is that you cannot add any additional chapter stops inside of any of the movies.