When to merge?

If you have no use for Close Def 3 or Spd Smoke 3, then yeah he can just be merged. He's deceptively tanky, even vs. magic. People have merge regrets when they think they don't need a skill now but then they ended up actually wanting it. I personally don't merge units with 5* locked skills. Others are safer to merge because they don't have skills that of particular value or are not already available at 4* rarity. Units like regular Azura, Sanaki, and Julia are some of those examples.

with close guard 3 out now, roy can get a 20/20 def/res buff when enemy initiates with his refined weapon, CD3, CD3 seal and close guard in team. a def+spd- roy+10 merge will have 51hp with 53/52 def/res. sure it isnt the most optimal build for roy but its a very fun build that can tank almost everything while doubling with QR in weapon effect.
while merges are great, unless u plan to use sigurd passionately, id keep for fodder as u dont know when u would ever need a CD3 fodder
currently my def+spd- quad DD3 build can tank so hard and nearly invincible against range on a def tile. i would build a roy but nvr seem to get the right ivs

I quite strongly suggest to keep for fodder. Close def is great, spd smoke is great. If you don't have anyone to use the skills right now, hang on to your extra copies for now.

Close def is good on cavalry and flier tanks because they can't use breath skills.

Spd smoke is good on daggers other than smoke dagger; it can also be good on units such as Ogma or Barst who can reach solid levels of spd but not quite enough to double some opponents. For examples, go into my profile and look at the question I asked about building duelist statlines for sustainability.

Spd smoke does come on F.Takumi, but this way you can save feathers for merge projects or building characters. Or just save the guy to use for close def, and if nobody in your barracks wants it right now, just hang on to him for now.