An answer has already been posted that shows that this holds in general. In this particular case, for $f = \varphi$, $g=1$, and $h=\sigma$, we may simplify matters by using the fact that each of $f,g,h$ are multiplicative (and that this holds true for their Dirichlet products too, because of this). Thus it suffices to derive our equality for $n=p^k$, with $p$ prime. We have $f * g(n) =\sum_{d \mid n} \varphi(d)=n$ by (for example) partitioning the cyclic group of order $n$ with respect to elemental order. Thus $(f*g)*h(p^k)=\sum_{i=0}^k p^{k-i} \sigma(p^i)=\sum_{i=0}^k p^{k-i} \frac{p^{i+1}-1}{p-1}=\frac{(k+1)p^{k+2}-(k+2)p^{k+1}+1}{(p-1)^2}$ Next, we calculate $g * h(p^k)=\sum_{i=0}^k \sigma(p^i)=\sum_{i=0}^k \frac{p^{i+1}-1}{p-1}=\frac{1}{p-1}\sum_{i=0}^kp^{i+1}-1=\frac{p^{k+2}-p(k+2)+k+1}{(p-1)^2},$ and so $f*(g*h)(p^k)=\sum_{i=0}^k\varphi(p^{k-i})\frac{p^{i+2}-p(i+2)+i+1}{(p-1)^2}$ $=\frac{p^{k+2}-p(k+2)+k+1}{(p-1)^2}+\sum_{i=0}^{k-1} p^{k-i-1}\frac{p^{i+2}-p(i+2)+i+1}{p-1}$ wherein we have had to split this sum because $\varphi(p^0) =1\neq p^{-1}(p-1)$, which requires a special case. I won't write out the final simplifications of this product because Mathematica can do all of what's left (with greater accuracy than me, too!), but suffice it to say that you will end up with $\frac{(k+1)p^{k+2}-(k+2)p^{k+1}+1}{(p-1)^2}$ as predicted.
As a general rule, you can always plod through these sorts of things when you have multiplicative functions.