System Information
Windows 7 64 Bit
AMD Radeon HD 6950

Blender Version
Broken: (example: Blender 2.70 and 2.71
Worked: (optional) Blender 2.69 and earlier

Short description of error
In some instances 'At Last' and 'At First' disappears from the merge menu and the only way to get them back seems to be to modify the selection.

Exact steps for others to reproduce the error
This is one way to reproduce the problem, I have however encountered it in other situations too:

1. Add a default cube.
2. Select two vertices (with Shift+RMB).
3. Remove doubles.
4. Try to merge the vertices at the first or last position and you'll see that those options are gone.