Actually guys there's an old "trick" to merging layers when they're using blend modes...
If your bottom layer in the merged group is set to any other blend mode than 'Normal', you'll not get the merged effect you're expecting. The base layer needs to be on Normal mode for the above layer's blend modes to remain intact.
To remedy this snafu simply select all of the contents from each layer you're merging, then activate your background or other 'bg' layer and press Ctrl+J. Now move this new layer to the bottom of the group you're merging, leaving it on Normal mode, and link the other layers to it. Then press Ctrl+E.
This may sound confusing at first, but it's actually a very simple/quick process. Just read carefully what i've written and do 1 step at a time. You'll see how easy it is too.
Any questions, ask. :B