Merging Performance is always done by tapping the “+” icon on the [PERFORMANCE (HOME)] screen.
Or by tapping “+” icon when assembling a program on the Pattern Sequencer standby screen.

It's best not to be assembling anything when dealing with the Live Set screen. The Performance you're adding to a Live Set should be finished (and [STORE]'d) already.

In terms of workflow - it's best to create all of your Performances first then once finished and saved, assemble them in a Live Set. Alternatively, you can go one-by-one. Finish creating one Performance, save ([STORE]) it , then add to the Live Set, and so on.

The rationale for always saving before adding to Live Set is that I believe it would be "natural" to think that after you "save" the current Performance to "Live Set" - you may think that your Performance has been saved as it has been currently edited. Not true. Anything you have edited has to be [STORE]'d. So not being methodical may have you lose changes because of wrongful thinking.