The problem with your data is that you have one line type layer, and the rest are polygon layers. You can merge data of one type, but not mixed (at least not with shapefiles).
So you have to do it by editing the geojson file, or leave it separated type-wise. QGIS is not able to work with mixed geometries, so you have to split a mixed-geometry input file anyway (like gpx or kml drivers do).
EDIT
Improved answer with new data:
Now you have only polgon data, which makes a union possible without mixed geometry. But your admin shapefile has no prj file. That might cause the crash, see http://hub.qgis.org/issues/5962. Union does it better, but makes 2239 objects out of 83 admin area objects and 892 water areas.
What you can do is clear the union file, and copy and paste the elements of the two layers again into the output layer. The union file still has all attribute fields from both datasets, so copying works. In result you only have 975 elements.
Or copy and rename the .prj file from the water areas, which has the same projection. Then merging shapefiles works, with the expected 975 elements.
Best Answer
As far as I know, QGIS doesn't support the .fdshape file extension. But maybe you can go along with the converter you can find here? It allows you to export/convert .fdshape files to .shp files. There's also a manual for that tool.