Merging Duplicate Contacts in Lightning Merge does not make the non-master direct account relationship an indirect Account Contact Relationship. That non-master direct account relationship is deleted. Is this WAD? Here is a scenario: 

Merging Contact. 

Contact 1: Charles Cummings at National Geographic Society (direct) and Yale University (indirect)

Contact 2: Charles Cummings at Harvard University (direct)

I merge the contacts. I keep Contact 1 as Master (the Harvard University relationship is just gone, it doesn't become indirect)

I keep Contact 2 as Master (the National Geographic Society relationship is just gone. It doesn't become indirect.) Same result in Lightning Merge and in Demand Tools. 

In either case, the indirect relationship with Yale is carried over in the merge. 

In my mind, I expected the merge to work similar to the way it works when the direct Account on a contact is updated (that direct Account relationship then becomes an indirect Account relationship).

This scenario is leading to data loss, which is always a concern.