What you can do with an active project is merge the events on a track.
For example if all your comps you want to use are on a single track and you wish to merge all the comp'ed events on that track to be one event, select them all either shift clicking or by selecting the track and hitting ctrl/cmd+shift+A to select all events on the track. Then hit [G] to merge all the events on that track. If you just wish to join two events that are side by side, select them both and hit [G].
The option to play overlaps comes up when you start a new song. Below the "Key" option you will see two checkboxes. One labelled "Stretch audio files to song tempo" and the other "Play Overlaps". That is how you allow it at the start of a song's creation.