CA Disk MERGE fails with abend U0200 and message 4185 if the DSNINDEX work files DSNIIN and DSNIOUT cannot be allocated as single-volume. 
 ADSDM215 4185 DSNINDEX DATA SET IS MULTI-VOLUME, PROCESSING IS TERMINATED. 
According to message 4185, the abend U0200 is caused as a DSNINDEX work file (DSNIIN / DSNIOUT) was found to be a multi-volume data set.
But it must be a single volume physical sequential (PS) data set, or a multi-volume, multi-stripe physical sequential extended (PSE) data set.

Release:
Component: DISKOS

The size of the DSNINDEX work files DSNIIN and DSNIOUT in MERGE need to be adjusted according to the number of DSNINDEX records.
The primary and secondary space allocation of the DSNINDEX work files DSNIIN and DSNIOUT are defined by the variables &DA, &DAP, or &DAS in the MERGE procedure.

In the sample case, the MERGE proc shows -
//   DA='K',     U OR K OR M # OF RECS 
//   DAP='550',  PRIM # OF DSNINDEX RECS 
//   DAS='13',   SEC # OF DSNINDEX RECS 

this generates for DSNIIN (and similar for DSNIOUT) in the MERGE procedure: 
//DSNIIN DD DCB=(LRECL=316,BLKSIZE=5900,DSORG=PS,RECFM=VB), 
// UNIT=SYSDA,AVGREC=K, 
// SPACE=(316,(550,13),RLSE) 

That means, the Primary space amount would be calculated for 550 * 1024 = 563,200 records (AVGREC=K means 1024) 
and the Secondary space amount would be for 13 * 1024 = 13,312 records. 
So, 1 Primary + 15 Secondary extents would provide space for about 762,880 records on one volume. 

But in the sample case, as per message - 
 ADSDM178*0057 865217 RECORDS UNLOADED FROM FILE DSNINDEX 
there are 865,217 DSNINDEX records. 
Therefore, with the above extent sizes, the file tries to go multi-volume and the Merge abends with U0200 and message 4185. 

Increasing the DAP and DAS values in the MERGE procedure to create a Primary space for 1,200,000 DSNINDEX records will solve the problem:
//   DA='K',      U OR K OR M # OF RECS 
//   DAP='1200',  PRIM # OF DSNINDEX RECS 
//   DAS='120',   SEC # OF DSNINDEX RECS