No, you absolutely cannot concatenate multiple certificates into a single file, a single file must only contain certificate, intermediates, private key and dh-group (if necessary). In no circumstance must the file contain multiple certificates.
I agree that the documentation is a little misleading, what do you think about this text?
It designates a PEM file containing a certificate and any
associated private keys and intermediate certificates.
No, pointing crt to a directory with thousands of files, each containing a single certificate is a very widely and successfully used configuration.
You tested this and came to the conclusion that this doesn’t work either, but I think something went wrong in your tests. I’d suggest you retry and make sure all the files in the directory contain what you intend them to contain, and not more.