I want to merge these two features into one (N.B: One polygon shapefile, lots of features). But an error occurred.
Any possible solution please?
QGIS version: 2.14.20
Are you getting an error message? Or, by "error", do you just mean you've merged the features but can still see the edge/boundary between them?
If it's the latter, try deleting the vertices that are on the edge between the two features, leaving only a single shared segment. Then, enable snapping and be sure the vertices at the ends of that segment (the corners where your features will join) are snapped together.