Mergify creates combined orders as a new order, so the original orders placed by customers are kept intact and can be used as a reference in the future.
Mergify doesn’t transfer financial transactions to the new merged order. If you want to refund orders, you can use the original ones. Merged orders are used for fulfillment.
There are some restrictions imposed by Shopify that limit apps to edit orders too.

Mergify only shows orders which are not
fully refunded,
fully fulfilled,
closed or canceled,
older than 60 days
on the manual merge card. If these requirements apply to your orders but aren’t displayed yet, use the “Sync database” card on the “Dashboard” page.

Mergify makes combined orders as test orders which are exactly like normal orders, but they don’t affect your store analytics. AOV, orders count, and other parameters won’t change,
combined orders are not actually new orders, so creating them as test orders makes perfect sense, and you can delete them whenever you want.