How can I merge layers with multiple layer styles added to them?

So I have this issue where I have to merge lots of layers in order to finish the job. Thing is that two of them have layer styles added to them. Each one has two different layers styles added to it. If I try to merge the layers, the effect won't stay the same and only one layer style will apply (and not even this one works correctly). Is there any cure for this? Thank you!

Here is how it looks before I merge the layers.
And here is how it looks after I merge the layers.
Why won't it stay the same?

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