It seems that Merlin requires manually configuring it using the .merlin file. IntelliSense does not require anything like that when using VisualStudio (at least when using it with languages like C++/C#/F#). This includes finding implementations of third party libraries. I imagine that this is partly by using the *proj, packages.config files and maybe data emitted by the compiler (but I'm only guessing). Is there anything similar for Merlin (maybe through using the .opam files or an OCaml compiler)?
If you build your code with dune - https://dune.readthedocs.io/ - then it will generate the merlin configuration for you.