For me, I like merging a series into an epub, but I'm pretty sure that a "universe" epub (multiple merged series and/or one-offs all merged into one giant collector's-edition-box-set-style epub) would get too large too quickly to be useful.

Not necessarily. I have one universe file on my Kindle that runs over 1000 pages and it's perfectly manageable. I'm sure there's a tipping point, though, when the file would be so big that it's not easily loaded / navigable.