Here is my problem:
I select all my items
click the recolor wheel
merge some colors
click ok, but it does not seem to change:
deselect, then reselect the shapes
click the color wheel: all colors are back, my color merges are deleted!!
See it in action:
You need to change the colorization method to 'Exact':
You can change the colorization method for all colors in the Color Reduction Options dialog by clicking the button next to the presets. Also make sure you have 'Recolor Artwork' checked.