Yes, ideally the studio and merged profiles would have identical gain. This is typically the case.
The Kemper has to somehow decide what part of the studio profile belongs to the amp and what part belongs to the cabinet. I have no idea how it could do this, but it does. The cabinet portion is copied over the top of a direct profile to make the merged profiles. I'm guessing that this process isn't perfect and may be part of what happened here. The box used to take the direct tap isn't completely transparent either, which also has some effect. We don't purposely make studio and merged profiles any different.
-Jimi