Code should create Master workbook in each folder separately in one go

ShazSh 

Try this:

Dim wbkCurBook As Workbook
Dim countFolders As Long
Dim countFiles As Long
Dim countSheets As Long

Sub MergeExcelFiles()
    Dim fso As Object
    Dim fld As Object
    Dim sfl As Object
    Dim ParentFolder As String

    With Application.FileDialog(4) ' msoFileDialogFolderPicker
        If .Show Then
            ParentFolder = .SelectedItems(1)
        Else
            Beep
            Exit Sub
        End If
    End With

    Application.ScreenUpdating = False
    Application.Calculation = xlCalculationManual

    countFolders = 0
    countFiles = 0
    countSheets = 0

    Set wbkCurBook = ActiveWorkbook
    Set fso = CreateObject(Class:="Scripting.FileSystemObject")
    Set fld = fso.GetFolder(ParentFolder)
    For Each sfl In fld.SubFolders
        Call ProcessFolder(sfl)
    Next sfl

    MsgBox "Processed " & countFiles & " files" & " in " & countFolders & " folders" & _
        vbCrLf & "Merged " & countSheets & " worksheets", Title:="Merge Excel files"

    Application.Calculation = xlCalculationAutomatic
    Application.ScreenUpdating = True
End Sub

Sub ProcessFolder(fld As Object)
    Dim fil As Object
    Dim wksCurSheet As Worksheet

    countFolders = countFolders + 1

    Set wbkCurBook = Workbooks.Add(Template:=xlWBATWorksheet)
    
    For Each fil In fld.Files
        If LCase(fil.Name) Like "*.xls*" Then
            Call ProcessFile(fil)
        End If
    Next fil

    Application.DisplayAlerts = False
    wbkCurBook.Worksheets(1).Delete
    Application.DisplayAlerts = True

    For Each wksCurSheet In wbkCurBook.Worksheets
        If wksCurSheet.Range("A1").Value <> "" Then
            wksCurSheet.Name = wksCurSheet.Range("A1").Value
            wksCurSheet.Range("A1").EntireRow.Delete
        End If
    Next wksCurSheet

    wbkCurBook.SaveAs Filename:=fld.Path & "\" & fld.Name & ".xlsx", FileFormat:=xlOpenXMLWorkbook
    wbkCurBook.Close SaveChanges:=False
End Sub

Sub ProcessFile(fil As Object)
    Dim wbkSrcBook As Workbook
    Dim wksSrcSheet As Worksheet

    countFiles = countFiles + 1

    Set wbkSrcBook = Workbooks.Open(Filename:=fil)
    For Each wksSrcSheet In wbkSrcBook.Worksheets
        countSheets = countSheets + 1
        wksSrcSheet.Copy After:=wbkCurBook.Worksheets(wbkCurBook.Worksheets.Count)
    Next
    wbkSrcBook.Close SaveChanges:=False
End Sub