To confirm the tool is having an issue, I went ahead and copied a shapefile and deleted all the fields in the copied shapefile. I then used merge with the original copied file and get a new file without any fields whatsoever.
This is with a point shapefile. Polygon shapefiles work with merge.
WARNING 000594: Input feature 0: falls outside of output geometry domains.
The original file was created using AutoCAD and exported to shape.
using arcpro 2.2.0 maybe I'll upgrade