I hava a big problem with MergedDictionaries and I believe that your problem is the same. I want my ResourceDictionaries to be properly organized, which means for me that there are for example seperate Buttons.xaml, TextBoxes.xaml, Colors.xaml and so on. I merge them in Theme.xaml, often all the Styles are in a seperate assembly (so that I could easily switch Themes). My ApplicationResources are as follows:
<Application.Resources>
<ResourceDictionary>
<ResourceDictionary.MergedDictionaries>
<ResourceDictionary Source="/DefaultTheme;component/Theme.xaml" />
</ResourceDictionary.MergedDictionaries>
<Style TargetType="{x:Type Ellipse}"/>
</ResourceDictionary>
</Application.Resources>
And every StaticResource in the .xamls defined in the main application assembly work, default styles work thanks to the dummy Style. What doesn't work are StaticResources between .xamls inside of Theme. If I define a Style in Buttons.xaml that uses a StaticResource from Colors.xaml, I get an error about StaticResources and UnsetValue. It works if I add Colors.xaml to Application MergedDictionaries.
Solution 0
Abandon organization. Put everything in one .xaml. I believe that is how the ResourceDictionaries were generally supposed to be used because of all the 'problems' with MergedDictionaries (for me this would be a nightmare).
Solution 1
Change all cross-xaml StaticResource references inside of theme to DynamicResource. It works but comes with a price as DynamicResources are 'heavier' than StaticResources.
Solution 2
In every Theme .xaml that uses StaticResources from another .xaml, add this another ResourceDictionary to MergedDictionaries. That means that Buttons.xaml, TextBoxes.xaml and others would have Colors.xaml in their MergedDictionaries. It will result in Colors ResourceDictionary being stored in memory in multiple copies. To avoid that you might want to look into SharedResourceDictionary.
Solution 3
By different ResourceDictionaries setup, different nestings I came up with a theory:
If a StaticResource isn't found above in the same .xaml or in the MergedDictionaries of this ResourceDictionary, it is searched in other top-level MergedDictionaries.
I would prefer to add to ApplicationResources only one .xaml, but I usually end up using two. You dont have to add to ApplicationResources every .xaml that you have in Theme, just - for example - Controls.xaml (with any kind of MergedDictionaries nesting, but no cross-references between Dictionaries of Controls.xaml are allowed) and Common.xaml which contains all common Resources of Controls. In case of Common.xaml nesting is also allowed, but no cross-references, there cannot be seperate Colors.xaml and Brushes.xaml that uses Colors as StaticResources - then you would have to have 3 .xamls added to Application MergedDictionaries.
Now I always use the third solution, but I don't consider it perfect and still would like to know if there is a better way. I hope I correctly interpreted what you described as the same problem as mine.