Merlin always seemed like the type to travel to me.
Remember in KH1? We don't see him until he pops up from a trip, and redecorates his home.
It might be that, once he got off his world and went to others, he decided that he enjoyed traveling and kept to that sort of lifestyle.
This could also pertain to learning magic- the more places one goes, the more they learn, right?
It's not that Merlin didn't have a home to go to, but that he probably didn't want to. By now, the people that he knows are on other worlds, and he probably likes being needed.
Plus, there's nothing saying that he didn't travel before his world disappeared. Mickey got to know him before KH1, since he asked Merlin to teach Sora about magic, and while Mickey might have journeyed to his world, it's also just as likely that Merlin journeyed to Mickey's world.