As you have discovered, Word does not offer this option, and I don't think
there is any other really simple way to send multiple documents as a single
fax. You /might/ be able to do it by attaching all the required documents to
an e-mail message and sending that to a fax recipient. But If I had to group
several documents together and fax them under one cover sheet I would
probably try
a. opening and printing each document to the Microsoft Office Document
Imaging "printer"
b. combining all the output pages into one by dragging and dropping them
into into one of the Document imaging dialog boxes that pops up
c. print that to the fax printer.

If you happen to have the full, pay-for Acrobat, you could do much the same
by outputting all your documents to Acrobat and combining them in there.

--
Peter Jamieson - Word MVP
Word MVP web site http://word.mvps.org/

page. How? File | Print only permits using the currently selected open
document + a cover page.