EpubMerge keeps the CSS files embedded in the source epubs.
The only thing I can think of is that you are using a tool (or reader?) that doesn't handle nested directory structure well. I know that Sigil used to have that problem, but I thought it was fixed years ago.
And are you looking in the right places? In the content.opf file all the CSS files are grouped after the text files, not interspersed with the text files. And in Calibre's Edit book file browser, they also appear after the text files.
I'll need to see an example (ie, source and merged epubs) for myself before I can do more than speculate.
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