Photoshop CC has issues when merging layers in a frame timeline animation. When you merge layers it makes that layer visible in all frames. This happens every time, with or without the Timeline's option for "New Layers Visible In All Frames" UNCHECHECKED.
This was also not the way Photoshop behaved in all the versions of CS that I animated with. Before in CS if you had the option unchecked, if you had merged layers, and if it was only visible in a specific frame, it would keep it that way. It wouldn't make the merged frame visible in every frame of animation. So I'm pretty sure this is a bug that has cropped up in CC only.