Somewhere in the docs, it says you can only use one PCB file per PCB Project.
Best approach, make individual projects (now designators and net names don't have to be unique), ensure the connector pinouts are consistent between them, and maintain up-to-date STEP models of each board, so that each project has current models of the others with it (assuming you need to view mechanical fit and all that).
If you need a simulation over all boards... best off making yet another project with all that in it (just schematics, no PCB). Might be able to get away with off-page connectors, or something to do with harnesses or subsheets, to 'mate' connectors' nets together so that you can at least use the same schematic files (of course, names have to be unique again, except for nets bridged across connectors, which must necessarily match).
So you can generate simulations, schematics and BOM (over all PCBs, anyway) from the master project, but have to go into the sub-projects to generate fab files for each PCB. (I know OutJob files allow you to select a PCB File to output from, but... if you're only ever intended to have one PCB in the project, what use is that!? Might be worth asking Altium themselves about that, see if they have any ideas... or if it's just a remnant that is as useless as it seems.)
Tim