If you want to add Page X of N, you'll need a PlanetPress Document to do so.
At its most simple, once your PDF has been merged, you use it as the Data file for that new document. Make sure you select the Set as Background
feature, so the PDF data file becomes the background for the new document. Then, you add a data selection to the document, select Custom Data Selection
and type in the following code:
='Page '+inttostr(¤t.printpage) + ' of ' + inttostr(pdfpagecount(¤t.datafilename))
That should do it.