If threads to be merged have a discrete relationship with one another, then this isn't a problem because they would be grouped by the very nature of this fact. If threads you wish to merge are happening continuously, then this is more of a problem when it comes to the resulting thread.
Discussions happen in chronological order within the original thread(s), but such an order would be lost if posts are ordered by post date in the destination thread. Unless it had been a requirement that posts are quoted, which is not always appropriate during forum discussions, then the destination thread may be difficult to comprehend.
This suggestion relates to this support thread: XF 1.4 - Merging Threads