The geometry of the thumb is not all the way in, some of it is still outside the hand.
The fingers geometry is over lapping. So if you boolean all of them at once, then it will just disappear.

How I would approach this is to get all the verts for the thumb and fingers lined up against the hands existing geometry delete any faces that exist in between the fingers/thumb and hand and the do a Polygon > Combine. Once thats done merge the individual verts to make the hand whole.