Thanks for reporting this issue. I have just had a look and can confirm that this is a bug.
We made significant changes to bookmarks in the latest release 2.5.37 and there appears to have been a gap in our testing. The next / previous buttons work as expected when the source log file is selected, but not from merge files. We will get this fixed for the next release.
In the meantime, I would suggest navigating using the bookmark tool window in the lower left navigation area. Also, if you add a bookmark directly to the merge file, navigation works as expected as long as that bookmark exists. This a strange workaround, but it may be better than using navigation area.