The configuration value for merging the JavaScript files has no effect.
Environment
Steps to reproduce

Backend > Stores > Configuration > Advanced > Developer > JavaScript Settings and set Merge JavaScript Files to YesObserved Behavior
All JavaScript files are still being loaded separately:

You will see the number of requests reduced when Magento is in production mode.
Merge JavaScript Files to Yes currently merges only js files added to <head> explicitly.
You can open page source (Ctrl+U). And find that instead of several files (../requirejs/require.js, ../mage/requirejs/mixins.js, ../requirejs-config.js) you have something like static/_cache/merged/26a...e.js.
If you want to reduce number of request to different static files try to set
Enable Javascript Bundling to Yes and setup Magento mode to production.
It is not an issue.
Most helpful comment
Merge JavaScript FilestoYescurrently merges only js files added to<head>explicitly.You can open page source (
Ctrl+U). And find that instead of several files (../requirejs/require.js,../mage/requirejs/mixins.js,../requirejs-config.js) you have something likestatic/_cache/merged/26a...e.js.If you want to reduce number of request to different static files try to set
Enable Javascript BundlingtoYesand setup Magento mode toproduction.