How to merge faces without creating new shapes I'm in the process of learning how to create models with Blender.
Right now I'm trying to create a circle with a hole in the middle, for that i create a simple circle and then I extrude with this result:

I then proceed to select all the faces and I press F.
I can do this but at the last face this happens

Why this happens and how con I avoid it? The goal is to have a ring with only one face, export it to fbx and import in Unreal Engine.
For reference, this is the end result I'm aiming for:

I've also tried to do the same on a vertical axis and this happens (images before and after some merges):
If you create 2 unfilled circles and press F, they will fill independently, Blender won’t fill the gap between them. If you put the small circle inside the big one, it’s the exact same situation, the same thing will happen.


This explains what’s happening with your ring, if you delete all the faces within the ring, Blender can’t guess the 2 circles are supposed to be linked to each other, it will fill both the outer and the inner circle but won’t fill the gap between them.
To do so you need to create at least 2 edges between the outer and the inner circle , then in Edge Select mode select each face and fill.