For quite some time I´ve been trying to make this feature to work since PS CS5 and now PS CS6:
When you select more than a couple of images in Bridge and want to run the PS / Photomerge , then you get a dialog where "Layout auto" and "Blend images together" by default are checked; if you continue, you`ll end up in PS with layers which are OK in Alignment but not in blending.
Whereas if you turn off the "Blend images together" then you´ll end up blending the images manually by means of the "edit / auto blend" and there it will work fine.
In this case I´m trying to blend different images to expand my depth of field.
I wonder if Adobe is aware of this that has been running badl for over 3 versions of PS now.
Or is just me?
Photomerge is really meant for panoramas.
You might get better results for your project if you use Tools>Photoshop>Load Files into Photoshop Layers
Then select the layers, auto align using the auto setting and then auto blend with Stack Images checked and check Seamless Tones and Colors