Merged questions don't have "[Closed]" in their titles. Shouldn't they?
Technically, the post isn't actually closed -- it's locked. See the revision history.
It essentially becomes the same as the stub left behind in a migrated question, so I think the question that really needs to be asked is: do merged questions need to be closed and locked instead of just locked?
I agree this is confusing. The merge text itself states "this question was merged with XYZ because it is an exact duplicate of that question".
So it makes sense for the behavior of a merge to also close the question as a duplicate, rather than simply lock it.