You can merge the FBX files that contain referenced objects in two ways: merge append and merge replace. For example, consider that File_B.fbx is being merged into File_A.fbx as shown in the following figure.
The results of a merge append are shown in the following figure.
The results of a merge replace are shown in the following figure. The REF1 and REF2 from File_B.fbx replace the REF1 and REF2 in File_A.fbx. The reference edits from File_B.fbx is also merged.