First, the active window does not contribute its layer 1 as the merged layer
1. (That is, the contributing windows are used in their order on the "Window"
list, unlike what is described in the online help.)

Second, the layer linking is entirely lost if the old plots are preserved.

Is this a bug, or is there something else I should be aware of?

You could use this script for examle and follow it by the standard rearrange
command.
You just have to figure out how to renumber your layers, it could be a little
tricky. Don't forget to refresh.