I wanted to blog about this just to increase the visibility of this bug since it may me more common that I thought.
If you are using Versions 1.8 of PerfView and you are COLLECTING data using PerfView using its default setting and when you look at your resulting .ETL.ZIP file and it gives you a dialog box that says you did not 'Merge' your data (and you can't get any symbols for native/OS dlls to resolve), then you should read further. If not please ignore this post.
There is a bug with newer code that PerfView uses such that on SOME older OSes (I have not characterized that yet), this effect occurs.
There is a simple work around. You can use an older version of PerfView (e.g. V1.7) to do the collection (you can still view the data with V1.8).
You can get the V1.7 version of PerfView from http://1drv.ms/1NHA1HB in the OldPerfviewVersion directory.
This of course will be fixed in the next version (V1.9) which should be released soon (next few weeks), but in the mean time you have a work-around.