Well, the message has certainly misled you. You are suggesting here that "without formats" means that you cannot sort cells to which some sort of formatting has been applied. But no: that's not what it means.
When you sort cells generally, the range may have different formatting applied to different cells: imagine, for example, that one of the cells has a different font colour. Is that colouring associated with the particular cell or with the value it contains? It could be either. When you sort the values, do you want that colouring to stay in the same cell or to move with the value as the range is sorted? That will depend on why you have applied that colouring, so you have a choice. This is controlled by "Include formats" on the Options tab of the Sort dialogue. If you have this ticked, then formatting moves with the values; otherwise it stays in the same cells.
You can certainly sort a range that includes merged cells, but you can do so only if you leave the formatting where it is, not move it with the values. If you try to sort a range including merged cells with the "Include formats" option ticked (which appears to be so by default), you will be warned that - although you can sort the range - you can do so only with that option deselected.
Brian Barker