If I have two paint layers, A and B, and a filter layer (Levels) on top of the stack, merging the filter layer down with the topmost paint layer A copies the pixels from layer B into Layer A. So essentially it’s as if I had merged the whole stack down and copied the result into layer A. I expect groups would limit the extent to which things are unexpectedly merged, but haven’t tested.
Of course there’s no simple way to bake a single filter layer to multiple separate layers, so merging down is an odd operation to do. I think it’s a bit unsafe the way it is, though, since the image on the canvas still looks fine, until the user takes a look at what the layer contents are. I think it would be better if, when merging a filter layer with a layer below it, the filter would only be applied to the layer being merged to. This would probably not be the result the user wants, but it would at least be immediately obvious that the user needs to do things differently.