It is non-intuitive, but there is a reason! 
We use a soft-delete system in Discourse, so admins are able to go back and see deleted topics, including the ability to restore them. The result: admins can see a deleted topic, everyone else sees a “page not found”.
There is a way to setup a redirect, manually, by visiting /admin/customize/permalinks and adding a redirect from the topic path to a topic ID:
Having a setting that automatically create redirects when merging topics sounds like a nice Contribute > Feature request.