We are not the first group of outsiders to be kidnapped in this way. From what we have been told, the people fighting the undead tried to kill them to prevent them from being used... and it didn't work. The undead can steal abilities, and revive the dead to do their bidding. So keeping us alive and shuffling us back where we came from is a safer bet, if more risky in the long term.

The Merchant has his own personal reasons, but he's also pragmatic. He will do what works to save his world.