When you move away from the note Joplin has to convert it to Markdown and plain Markdown does not support merged cells.
When you first use the Rich Text Editor (RTE) a banner appears that says there are limitations. It links to this page where it says (my emphasis):
However there is a catch: in Joplin, notes, even when edited with this Rich Text editor, are still Markdown under the hood. This is generally a good thing, because it means you can switch at any time between Markdown and Rich Text editor, and the note is still readable. It is also good if you sync with the mobile application, which doesn't have a rich text editor. The catch is that since Markdown is used under the hood, it means the rich text editor has a number of limitations it inherits from that format:
However it seems that the "Table" toolbar menu icons (shown below) do still include actions that are not supported (merge, cell background colours, cell border lines and colours etc.). I am not a coder but I guess (and it is a guess) that this is a part of the component imported to handle tables and possibly cannot yet be disabled.
You can create merged cell tables in the Markdown editor after switching on "Multimarkdown" in the Markdown section of settings. The RTE will display the table with merged cells. Unfortunately if you then edit the note at all (not just the table) in the RTE this formatting is again lost when you leave the note.