"Merge" means that Photos combines some information from the two images, picks the "better" one, and replaces the lesser one with the better one everywhere it was originally located. (If they're identical, then it just doesn't batter which one is "better.")
If the better one was in two albums, and the lesser one was in another album, then the better one will now be in all three albums, and the lesser will be removed from the Library, though it will still be visible in the Recently Deleted view in case you change your mind. Before there were two pictures files appearing in three albums; now there is only one picture file that appears in all three albums.
If a picture from your Library "appears" in one album or in ten different albums, it takes up no more space--that's why duplicate files can be removed from the Library without changing what you see in albums.
The "in case you change your mind" thing may be important if you didn't notice that the two pictures weren't really identical, but Photos thought they were close enough, maybe like this:
So we should be careful when we merge "duplicates."