Thanks Graham,
I've often wondered what the multiple quote feature actually did, but whenever I've clicked it, the response has apparently been so slow that I've given up.
Up to now, I've done this instead by clicking the quote icon for each of the posts I wanted to quote and then copying a set of them into a single reply, editing each one as necessary.
I can now see what I was doing wrong. Next time I try the 'shortcut' multiple quote feature, I'll use the 'correct' method.