The documentation of the UserMerge extension states the following in the "extras" section:
if you omit the "New User" field, then the extension auto-populates the New User as "Anonymous" (user_id 0), and ask you to confirm a merge to Anonymous.
However, this is actually not quite correct, as the target user field is a required field, it can therefore not be omitted.
This could also be related to T72591: "Anonymous" is hardcoded as the username to merge to userid 0. Not requiring the user to write a name in the target field would make it easier to merge a user to an unknown field. Probably there should also be a checkbox "delete user" instead of "merge" and the field is didsabled or not displayed at all.