You may now be asking yourself, “If Merlin is dead, what exactly is it that we’re talking about here?”
In Kingsman: The Golden Circle, there is certainly the strong implication that Merlin is blown into a million pieces, but you don’t actually see it happen.
Well, as you may also remember from the first two movies, death isn’t necessarily always super permanent in the world of Kingsman.
This is presumably done because it would have been gratuitous to show a heroic character annihilated in such a way, but it does keep a door open.