Check that saga is installed, in a command prompt try:
Otherwise install using:
sudo apt install saga libsaga libsaga-api-2.3.1 libsaga-dev python-saga saga-common
If it is installed, you need to check that QGIS can find the executables. The log in QGIS should show what commands have failed.
You may able to skip the Fill Sinks step by downloading a corrected DEM, recently made available at http://hydro.iis.u-tokyo.ac.jp/~yamadai/MERIT_DEM/index.html.
It is a 90 m DEM based on SRTM data and was used to create Hydro rasters, also available to download here.
These data seem to be high-quality. I'm trying to get a stream network out of them, but am ...
Try the collect geometries tool. Here's its description:
This algorithm takes a vector layer and collects
its geometries into new multipart geometries. One or more attributes
can be specified to collect only geometries belonging to the same
class (having the same value for the specified attributes),
alternatively all ...