Inside a PDF there is a set of page objects plus an index. Merging is essentially putting the page objects from several documents into one file and rebuilding that index. Because nothing is re-rendered, the merged pages are pixel-identical to the originals; fonts, vector artwork, layout and image quality all come through untouched. That is why page-level PDF work can be genuinely lossless.
What is not lossless lives outside the pages: bookmarks, some form fields, annotation relationships and document-level metadata do not always follow the pages across. If any of that matters to you, it is worth verifying after the merge.