I just checked, it seems they did get merged.
But it's odd. I thought they weren't actually merged as both were still selected via the tick box in Recent Posts view.
I unticked them, and next time I looked they were merged ( source thread had a redirect in place as specified in the merge threads dialogue box) and posts were all sitting there in the destination thread.
Destination thread was a resource discussion, not sure if that is relevant to the issue.