Unable to group duplicated objects? In this article:

the last line says : 


  To turn all duplicates into real objects, simply
  select the icosphere and Object ‣ Apply ‣ Make Duplicates Real,
  Ctrl+Shift+A. To make the icosphere and the tentacle a single object,
  make sure they are all selected and go to Object ‣ Join, Ctrl+J.


After doing this, I now have a large amount of objects. Great! but unfortunately, when I select all of them and Ctrl+J to combine the objects, nothing happens. Is there something preventing me from doing this or am I overlooking something?
Add a Monkey (Shift+A)

Add a Circle (Shift+A) set the vertices say 10 or 12 (left hand panel or press f6)

Select the monkey and then the circle (order is important here)
Press ctrl+P -- object

Go to the object panel right hand in duplication section select verts

press ctrl+Shift+A then 

press ctrl+J