Did I do this CFrame wrong?

This is a problem better solved with a generic Model welding algorithm.

My favorite way to go about it is as follows:

1. Get a reference to a target Model (make sure all of its children are Anchored)
2. Get all of the children of the target Model
3. Pick one of the children to be the "root". All other parts will be welded to this single child (hence a "root").
4. Loop through all of the other children and weld them to "root".
5. Unanchor all of the parts.

When welding two Parts together to preserve their relative CFrames, you will calculate the offset of one of the Parts from the other Part. In our case, the offset of the target child from the "root".

This is best done as follows: offset = rootCFrame:inverse()*childCFrame. This is because you want to center the child's CFrame around a new coordinate system based upon root's CFrame, hence you invert root's CFrame to get its offset from the origin (which is the current coordinate system). Try drawing this out on a piece of paper to get more of a sense for the logic behind this.

Altogether, a Model welding function may look like the following:

local create = LoadLibrary("RbxUtility").Create 
-- my favorite built-in ROBLOX object creation function, feel free to use another one

function weldModel(model)
	local children = model:GetChildren()
	local root = children[1]
	for index = 2, #children do
		local child = children[index]
		if child:IsA("BasePart") then
			local offsetFromRoot = root.CFrame:inverse()*child.CFrame
			create("Weld")({
				Parent = root,
				Part0 = root,
				Part1 = child,
				C0 = offsetFromRoot
			})
			child.Anchored = false
		end
	end	
	root.Anchored = false
end
weldModel(workspace.Model) -- Replace with a reference to your model