Thermal Analysis with multiple assemblies

Hi Guys, 

Im running a simulation that is running based off of the subassembly sets of heat load and convection boundaries. 

For example:
Assembly 1 has 1 heat load, with 7 conv boundary conditions
Assembly 2 has 1 heat load with 4 conv boundary conditions
Assembly 3 has 1 heat load with 3 conv boundary conditions

these Heat loads and convection boundaries were added to the sub assemblies, the new assembly of these 3 has not had any additional heat loads added. 

how do i run a thermal analysis with all 3 heat loads working together.  It seems like the only issues are the 3 heat loads. The convection boundaries seem to run fine. It wants me to choose a single load set for the new assembly. It will not allow me to use all 3 load sets at once.