Still happens our end - put a vray sun in your scene, set it up, then merge a material from another scene into your material editor. You’ll either get a second sun, or it’ll reset all the settings of the existing one.
It seems to happen in nearly any case where one object depends on another or references another such as a nested material, some kind of constraint and often parenting. It’s what buggered up the merge animation bits in max 8.
Just my curiosity… Does it happen when you merge the mesh with the material? Or only when you get material?
This doesn’t happen to me but I always merge the object first, get the material and delete object.