Your merchant marine carries cargo only for foreign trade. Merchant marine does not affect transport capacity within your empire.
Construct merchant ships in the shipyard to increase the amount of merchant marine. Each completed merchant ship adds more cargo space to your total merchant marine number.
Your merchant marine can be intercepted by hostile great powers and in the event of war it is wise to protect it. Any undamaged naval vessels stationed in port will act as escorts for merchant marine during that turn's trade deliveries.
If your merchants are intercepted and taken or destroyed, the deals you made that relied on those merchants for pick-up or delivery will be canceled.