When you merge a person (say from a hint) the information is being merged but now the media is not.
On teh summary at the end of the merge box there is a check box at the top that says "merge media" - this is checked.
In the summary it notes "new media item to be merged" - click OK and the confirmation box just says "people merged successfully" and the media isn't merged at all.

Having to then go and save the media and manually add it is a bit of a pita to be honest.

I'm using FTM2009 on Vista Ultimate.