My Current (and First!) Merge Project - Thoughts on the skills/weapons I’ve given him?

You could try running Close Defense and Distant Defense in his A and SS slot. It's a bit expensive, but A) it gives 1 more point of defense, B) he will never have to worry about being countered during player-phase so they will always be active, and C) it won't take away from his attack stat. While he still won't be killing anything, it will mean he has a bit more healing output since it scales at half his attack stat. I run single Fort Def on mine (and Pain+++) and he can barely heal anything with Martyr when he is on full or near-full HP. And if he's buffed, or on a defense tile and takes a hit he won't take much damage, which means less healing.

I run Guard on mine, so that way he can proc his Pain+++ without charging up any specials, which is another way to go. Or a Chill, to help out your team. You could also run Fear+ if you want, that way he'll be a really great tank (48 effective defense and 38 resistance before buffs) if you ever want to use him as that. That's my take on it. Good choice, he's a lot of fun!

i'd suggest going distant def and close def for him so he can heal more with martyr. with dazzling pain, he doesnt need the added bulk on the player phase but he could use the 6 points in attack you're sacrificing for extra healing.

escape route is a really good skill with nice synergy to go with martyr and i would suggest maybe switching out his kindled fire balm for miracle because that skill pairs real well with martyr and escape route as well.

but i would also say to keep fire balm if hes your leader hero because its a nice skill for things like grand conquest and squad assault

You have made a very uncommon choice for a first merge project (which by no means makes the choice bad). At first I thought, "I would personally have preferred a unit that can function in more different circumstances," but the fact is that he can tank a lot with no colour disadvantage and healing is always a plus.

For the amount of speed he has, I think you are safer to use guard. Escape route is better on arena defense to surprise pain people because the skill is so rarely used so they'll forget to factor it in and even if they don't forget, it's almost impossible for your opponent to avoid the if some member of your team might move forward without getting killed. Also, he can warp around and heal whoever he wants once he drops into low health. However, none of these advantages are going to matter if you get a bunch of bold fighters blasting you with bonfire/ignis and cutting through with black luna, not to mention the infamous Regnal Astra.