heeeeeeeeeeeeeelp !!!!!!!

You have a shape layer with a layer style and a show all layer mask and an empty layer. If you merge them you will wind  up with Raster layer that was create by adobe Photoshop applying a layer style to a layer for its contents. Then that layer merged down into your emty layer.  You wind with you shape laye with a layer style merger to a normal pixels raster layer.  You shape layer rasterized.  You also seem to have displayed  closet path being tramsformed. You would neet to commit the pathe transform before yuo can merge your layers.  The closed Pathe will not be effect  by the merge of the layers.