I had this problem, too. I had already created an HDR with the Enfuse plugin and it turned out I accidentally selected that output file along with my RAW files when I asked LR to do the merge. Perhaps you could try double-checking which files you've selected and make sure nothing else has snuck in.
There are several possibilities. First, the metadata Lightroom looks at to merge the files are the f-stop, focal length of the lens and ISO sensitivity. These all have to be the same, so if you have auto ISO turned on or are not shooting on manual mode or aperture priority then it's possible the camera is changing one or more of the settings causing photo merge to not work.