You're right. We nearly always add a comment saying "Comments moved to X" in the duplicate thread, but neglected to this time. Sorry for the confusion.
The current way of merging threads is low-tech. We like to do things manually for a while, to get a sense of how best to automate them later. Eventually, though, merging threads will probably be a fully-baked feature of the site, because many users have asked for it.
