Will you try to complete the merge, but take a screenshot of the screen where the message is, as well look to see if the parents are checked or not? It seems that it's a validation check that won't let any parents merge in, even if there are not parents or they are the same. Unchecking the parents boxes lets the merge happen.
Let me know what you see; I get the same message as Julie, so long as I am not a manager on one of the profiles. If I am manager on both, it isn't there. If I am on only one or none, it then appears.