That looks correct.
For the vertex normals to be smoothed across surfaces, the vertices must be shared by all of those surfaces.
If you are joining non-joined surfaces, this is usually done by moving vertices to the same position (Vertex->snap-togther) then Object->optimize-vertices. This will remove any duplicates that are at the same position. before this is done, all surfaces being joined must reside in the same object.
If this isn't the solution, can you illustate the problem more - either with images or some import code?
Andy
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