Actually CJB, it is probably more a case of your birds moving to somewhere else for the moment. They do that. And overwintering merlins, they will keep moving around from feeder to feeder as well. If you want to take the feeder down, feel free, but your birds probably haven't gone far, and are in fact still coming to your feeder, just not when the merlins around and not on a regular schedule. Its the same kind of behaviour they would engage in during the summer with merlins around. We have found that the number of birds doesn't in fact decrease, just that they are more secretive and they much less habitual about visiting feeders. Now that is summer research, not sure about the winter.
As for the particular species of birds you listed, where is the feeder they are using? by your house or another structure? or in the open? Merlins though very good at flying amidst obstacles generally will avoid getting close to buildings/garages/high fences, as they greatly increase their risk of injury, a quick death sentence in the kind of weather we have had in Winnipeg over the last month. Because woodpeckers and nuthatches crawl up and down tree trunks, they are are not so easy to catch, need to a very good hunter for that. As for the chickadees, they like to bop from cover to feeder and back to cover, so they too are at much less risk than say house sparrows, which I figure are like Big Macs for merlins (that would make your feeder the "fly-thru").
Upshot is, take the feeder down if you would like, it will probably take "your" birds a few days to find it when it goes back up as they will have found a new source in the meantime. If your feeder is in the open, you could move it so that its closer to the house, or hang it from your eaves or outside a window. As for "your" birds actually being predated, maybe, not the easiest things to catch as I said, may be that they are around, just shaking things up and they'll reappear once the merlins move on. I should say that I have all the same birds you have, and I've watched my merlins ignore the woodpeckers/nuthatches/chickadees in favour of the greedy little sparrows at my millet feeder.
Hopefully somewhere in there is some assistance and/or reassurance,
The Peregrine Chick