This may not be related to the source of your problems, but for modern computers, Supreme has some issues in Program Files. If you've saved your Supreme folder there, move it somewhere else. Check "C:\Users\YourName\AppData\Local\VirtualStore\" (replacing "YourName" with your username and "C:\" with another drive if necessary) to see if your profile data and saved worlds have moved.
Also, "merging" might've been a poor choice of words on my part. There should only be the one "all_supreme_worlds.zip" from the itch.io page. Unzip that and move the three folders into your Supreme folder. When Windows asks you if you want to replace the files, say no. I'm not sure if replacing the originals causes issues, but I declined when moving the add-ons into my own game.