Yes, I tried multiple times with multiple devices. A couple of times it did just disconnect, as you said, but a majority of the time it merges the calls together. I found this very odd, I wonder if that's what's supposed to happen.
When using *3 you choose which parking spot (ie. 101) you want to use then you can immediately hit transfer and hang up.
When you use *4 are you waiting for the call to be placed in the parking spot before you hit transfer or hang up? After you hit transfer, then dial *4 and wait a few seconds, it will park the call and tell you the parking spot number.
If you put two calls in the same parking spot the two calls will be on the same call and will be able to talk to each other. I just tested this.