This is expected functionality.
The Merge Rule expected behaviour is described in the Active Roles Synchronization Service Administrator Guide as follows:
A merge sync rule allows you to merge attribute values between the source and the target data system. As a result these values become identical.
Since a CSV file is treated as a read-only system and is never updated, normal behaviour for a Merge Sync Rule is not possible and the behaviour of a Forward Sync Rule is used instead.
Enhancement Request 779224 has been created to change the existing behaviour of the Active Roles Synchronization Service and hide the option to create a Merge Sync Rule when working with a CSV data source. This will reduce confusion when working with CSV files.