I think it would be a timesaver if there was an option in the merge dialog to actually open the file in a new window, select the objects you want and then click a merge button to merge them into your actual scene.
Often in large files that arent perfectly organised and named most of us will end up opening the file anyway to find out what something is named. Having the ability to actually select objects ion a viewport that you want to merge would be a very welcome feature addition in my opinion.