Merge is for when you have a lot of individual meshes, and you want to make one mesh from them. Because, very often, one mesh will draw much more quickly than many meshes.
You only need to put all those meshes in a BP for ( typically ) two main reasons
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You want to add some programmable functionality
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You want to make a sort of ‘prefab’ thing that you can just drag in the level
Number 2, is very like level instances, it operates differently, but it’s similar to use.
If you have a lot of separate bricks, and they don’t actually need to be separate, then yes, making them into one mesh is better. Even better, is making a simple mesh look like a wall using it’s material.
A level is just one of your maps. You can literally drag one of your levels into another level, then it’s called a level instance. You can also use a node like ‘load level instance’ to load one of your levels into another one, it’s still called a level instance, and the loading process is called ‘streaming’.
And… using the ‘levels’ dialog, you can include many other levels as ‘streaming levels’ inside your current level. They’re all there, but they don’t actually load until you say so. Then, you can use nodes like ‘load streaming level’ to load those levels inside your current level. The problem with this, is you can’t specify the location and rotation, like you can with level instances.
I know that last bit was a little complicated. But it’s pretty much impossible to describe clearly because there’s a lot of words that mean very similar things. Don’t try and get this stuff clear in your head, just do a tutorial on what you think might be useful. If it is, use it, if it’s not, move on.
Eventually it will become clear.