Threads are moved when there are already covered by a thread - mostly it's the Speculation thread, which covers anything of a speculative nature outside of threads already established or ones that will garner enough discussion on that topic (as the rules there state). Not doing so would mean a million small threads everywhere, with new ones constantly being made anyway as the old get pushed to the back and hence overlooked. One thread means less threads to worry about in the long run, but merged threads. It's the price of a busy section that will only get busier, I suppose.
At any rate, I can't change the icon showing if threads have been moved/merged or not, I don't believe, so it'll just have to stay like that. =/