Hi,
I'm not sure if you meant to use bcftools concat since you are combining different chromosome files with the same samples basically.
With the 'No BGZF EOF marker' and '...may be truncated...' errors, it is likely your downloads did not complete or something went wrong in the course of the download.
My advice; try bcftools concat, and if the errors persist, you could consider downloading the files again.
bcftools concat [ options ] -Oz -o merge.vcf.gz ALL.chr{1..22}.phase3_shapeit2_mvncall_integrated_v5a.20130502.genotypes.vcf.gz
Esoh