I logged in on the Data Explorer using my Stack Exchange account, the same I already use on other Stack Exchange sites, but I got logged in with a different user account. So, I tried to merge http://data.stackexchange.com/users/20598/kiam-la-luno (the new account) with http://data.stackexchange.com/users/5248/kiamlaluno using the contact us link, which redirects me to Meta Stack Exchange. After I fill the links for the accounts to merge, I keep getting an error message, and requesting the merge fails.
Would you be redirected to a error page or just be shown a error message ("Profile links must be for Stack Exchange sites") - either way, Data explorer, although having an address which makes it look like a typical SE site, is not really a SE site - and the topic called "I need to merge user profiles" applies to the accounts on some real SE site. (this could be a reason why you get the error page).
I guess you should use "other" in such cases and note that you would like to merge two accounts on the Data explorer.