There’s a couple of issues with making it into a single mesh–first is lighting, you can only use a single lightmap per object so if you combine them all you won’t be able to get enough detail in the lightmap. If you use dynamic lighting then that’s not a problem but if you have interiors then dynamic lighting will look bad.
The other thing is performance, while you might be just doing an animation or image render, you probably want to work at a reasonable speed, and making it a single mesh would have very poor performance.
The FBX Scene Import option is meant to allow you to arrange your scene in your 3D program and have it maintain the positions and the instancing that you have, so it’s equal to importing individual objects and then placing them yourself, except now you can do it in your 3D program.