Yes an "unsplit" is something Vegas is missing. Excalibur has a script that will do it, you might be able to find a stand alone script somewhere, or you can go through the same process that the script goes through yourself. Just double click the event on either side of the split to select it, then hit delete. Then drag the edge of the remaining portion of the clip to the left or right to fill in the gap.

As a brand new Vegas user (but reasonably bright person and longtime "computer person", "extreme power user", etc.) I keep shaking my head at not thinking of these things. This "completely nondestructive editing" idea does take some time before all the implications and capabilities are clear. :)

I fail to see how this method does an "unsplit". It merely deletes part of the event.

Why not just butt them together and then group them.

The first part deletes one of the events, the next part extends the other event to cover/replace the event you just deleted - the effective result is that you just "joined" the previously split clips.

And if they're grouped together the audio will follow automatically.
Tor

Make sure you are dragging the edge of the event and not dragging the whole event, which will just move the event over. Remember that NLE editing is non-destructive, an event is just a window in the timeline to the original uncut clip from which the event came. When you split an event, you subdivide it into two separate windows. You can enlarge the window by dragging out the edge of the clip. The technique I mentioned above deletes the second window the split created, then enlarges the other window to its original size. Hope that makes sense, the best way to understand it is to put a clip in a blank project and try different things out, that's the beauty of non-destructive editing (well, if you do a test render, just make sure you change the name of the output file or it will be destructive! ;-)