Its true that the actual process can only be two at a time, but ultimately, they all need to go into the lowest numbered profile. The problem is that intermediate merges creates multiple redirects which in turn causes more strain on the server.
#3 -> #4 -> #1 ( 3 will always have to "travel" through 4 to get to 1 )
#3 -> #1 ( single direct route)
#4 -> #1
In the long run, it really doesn't matter, but its a best practice to reduce the load on the server.