Merging two entities is possible in med.
It might be usable, to let this also be possible in wed,
so you can merge i.e. 40 fences into one, to save nexus memory, game speed,etc
To merge i.e. 30 entities(static ones of course) into one, that will be saved.

What will be faster: 30 small entities, or 1 big one?

You can't merge but group the models in WED.
Select all models then click Object->Group->Group Together
or press CTRL-G.

But it makes sense to merge them as well!

Ventilator mentioned somewhere that a size of a model is optimal at about 5000 vertices or polygons.