In the online version when performing a document join, it is possible to generate bookmarks for each added document, in the desktop version I can't find a way to do the same.
The latest PDF24 Creator version should be able to keep bookmarks from documents. The code base is now the same when you use the merge pdf tool from the toolbox of the pdf24 creator.
He latest PDF24 Creator Version 11.3.0 brought this feature. Open the toolbox, choose the merge pdf tool, select pdf files and then you will see the new bookmarks checkbox option.