When a moderator merges two accounts, all the posts/votes are moved over to the "master" account, and the other account ("slave"?) is deleted. The merge is propagated network-wide, so a similar thing happens on each site.
But, this does not happen to the chat user. The "slave" chat user is kept, with a 404 parent profile link. I feel that the chat user should be merged as well, re attributing all the chat messages.