Did Artemis and Thalia lose any items during their merge ?
The short answer is no.
The long answer is a bit longer (for good reason). Keep in mind that Thalia was merged with accounts and all, a much more complicated task. Here, no actual accounts will be merged as all the servers are already in US region.
If you feel paranoid, however, nothing's definitely stopping you from screenshotting/video capturing your entire collection. Of importance though is that I would remove all things from your mail and AH sales before the merge. The things in the AH are supposed to be mailed back to you, but this is something I would do before the merge.