Deska did exactly the same thing! -5C and he chased some ducks into the river, then he stood there and expected me to go get him! A hobo nearby said "Lassie needs rescuing".
I can tell you Deska has never chased a duck since, even tho Tully loves to. I doubt he remembers why I think he just associates something really bad with them. So there's certainly hope for Merlin - he may have learnt a hard (and cold) lesson. Mind you if you raise a sheltie with a lab it was bound to happen!