Basically, only the top column cells can be merged, but the user will be able to merge the column cells shown as the top column even if they are contained in the column group from version 1.3.7. However, it will be only possible in the column just below the top column group. In other words, the column below a few steps can also be shown as the top column logically, but you should only use the child column just below the top column group to do the cell merging.
In the code below, "Country" and "Product code" columns are displayed as merged cells though they are contained in the column group.