I was using mergeLead API I have some issues with this.
For normal case where we add valid winning key and valid losing key API works. (Here valid means Lead ids which are present on Marketo). If we provide invalid id for Winning key then Marketo throws exception saying "lead not found", which is expected.
But when you provide valid winning key and invalid losing key marketo doesn't give any exception, instead it returns status as "Leads Merged". I think there should be way to validate losing lead keys also.