I want to merge two accounts of mine but I worry about incoming links: what happens to them? Will I break the web?
I don't know whether the absence of redirects is intentional or just a missing feature. Looks like the merged account is entirely deleted.
Links won't break to things which don't change their IDs, though. For example a tag filter ID/URL doesn't depend on the account ID.
When merging accounts, you may want to try to make sure an account with many incoming links is not deleted. I don't know if you can choose, though: perhaps you have to ask merge from the account you want to delete, or perhaps the oldest account is always preserved no matter what.