Firstly, the number of units is IIRC capped by your specs. Offhand, my biggest army is 2000 strong.
Secondly, you can merge armies by selecting one, and right-clicking on the other; although you need to wait for the army to reach the target one. You can merge units within an army - assuming they're not over their unit cap - by dragging them over each other. (i.e. combine a 30 and 40 strong unit of Pricipe to get a single 70 strong unit).
All that stuff is explained in more detail in the manual

Finally, the 10,000 strong army may include supporting armies.