I'm not entirely sure what you're trying to accomplish, but hopefully this should point you in the right direction.
The "merge book" feature is to merge two or more book records that are logically the same book.
For instance, if you have two identical books, one in epub and one in pdf, you can merge the records so that you end up with only one book, but it will have both epub and pdf formats. The "merge into first selected book" wording is so that you know which book record will keep its metadata when the others are discarded.
Also, a book record can have only one file of each format, so if you merge two epub books, only the "first selected book" will keep its epub file. The other will be deleted.
There's also the EpubMerge plugin, which is designed to assemble multiple books into one omnibus. You might use this, for instance, if you've downloaded the individual chapters of a book as separate files and want to merge them into a single book. It only works with epub files.
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