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Last tested: Oct 28, 2020
Answer is yes!
Merge results are performed in memory and not in SQL on the database. We store the results of all the source queries in memory and then merge those source queries in memory. The usage of this memory can cause the memory to be throttled (essentially meaning that memory is used up to its max).
When the memory is throttled, it can trigger the garbage collector, and thus causes high CPU usage.