Drawbacks to merging PDFs in Preview.app
Merged PDFs from Preview are perfectly valid and follow the standard. I've never found any incompatibilities with them.  It does merge it into a single PDF, and any pages that are deleted are removed from the file.  You can test this by checking file sizes first before merging, then after merging, then after deleting some pages.

The only drawback I've found with Preview is that the Apple code for writing PDFs seems to default to writing PDFs which are faster for Preview to render, but which are larger than typically put out by Acrobat.  (At the moment, I can't find the link that originally proposed this hypothesis... It's been a number of years.)  For example, you might open an Adobe-created PDF in Preview, immediately save it to another file, and notice that it has expanded.  This change in file size does not change the image quality in any way.

In general, the change in file size is not too much of a deal.  It's only in rare cases (such as 120MB scanned PDFs) that I worry about which app I use to create the PDF.