Which version of engine are you using? Level Merging is no longer a feature after World Browser was taken out of Experimental and turned into World Composition. As of 4.3, moving assets between levels is done directly by selecting assets (right click on level or levels and Select Actors) and then move them to desired level (right click > Move Selected Actors to Level).
Ah, I see that now. You’re correct, that still exists when World Composition is not enabled, and it isn’t working. I have entered a bug report in our system for developers to look at (UE-4791).
I’m glad that workflow will work for you, but I will also let you know if they decide to fix this rather than remove option. Thanks for report!
Just wanted to give you an update that this issue has been fixed internally, and should be working as expected in 4.7. developers decided not to remove button, so you’ll be able to use that method to merge levels again.