Yeah I've thought something like this has been needed for a while. I'd been thinking of the idea of adding a log entry at the target as well as the source, and that wouldn't go astray either, but that would probably not be so easy ...

A log entry at the target was separately requested in T118132: Merging pages should add a log entry to the destination page. I personally don't see the point of any of these requests, though - history merging should if done properly be seamless and not need an annotation.

I do history-merging on enwiki (though not as often as previously) and the main reason I don't use Special:MergeHistory (except in unusual cases) is the lack of annotation. I think it should be annotated like any other edit/admin action that affects a page (yes when done cleanly the history should still seem natural, but sometimes history merges hard/impossible to do cleanly).