The depression seam is due to border blending, which requires edges to overlap.. Uncheck the stitchable border box if your DEMs share the same coordinates for the edges. The edges are being blended with nothing so the altitude lowers towards the edge.
From what I gather of QGIS, it's a bit more like Photoshop than GlobalMapper. You can load multiple DEMs but you have to merge them together first, load the merged result and then export that. It doesn't seem to distinguish between DEMs and images, it just treats everything as images and most functions seem to only operate on a single image.