Does the New Threading Behavior for Email-To-Case in Salesforce affect CMP?
Starting in Winter 21, Salesforce introduced a new enhancement for standard Email-to-Case where incoming emails are matched to existing cases based on the MessageId found in email headers instead of the Thread Id included in the Subject/Body of the email. https://releasenotes.docs.salesforce.com/en-us/winter21/release-notes/rn_email_to_case.htm
This change was made specifically for standard Email-to-Case and doesn't directly impact Case Merge Premium's behavior.
Case Merge Premium does not rely on the Case Thread ID field when redirecting email messages received on the Closed as Duplicate child case; it uses the ParentId lookup field instead.
Additional Considerations on this change being made by Salesforce can be found here: https://help.salesforce.com/articleView?id=000355168&type=1&mode=1 .