April,
There are any number of ways this can happen, from orphan quotes to the RSUBMIT problem Scott told you about in May to PDS problems in z/OS to some subtle differences in interactive vs batch processing.
If you manually paste all the programs into one file, does it work? (Use ctrl-A in each file to select EVERYTHING.) If so, that would point to problems in the %INCLUDE syntax itself.
Without more information, the forum is sort of handicapped to help. Tech Support may be your best bet to a quick solution.
Doc Muhlbaier
Duke