From in-game news (Archive->Mercenaries Changes):
3. The mercenaries that the hero chooses (if he chooses any at all) at the beginning of a multi-staged dungeon, will accompany him throughout all the stages. The hero will not be able to choose other mercenaries for the different stages of the dungeon.
This means that if you choose only one of them at the start you will not have access to the rest of them until you return to town.
Also if you select 4 at some point of multi-stage dungeon and at next battle select just one the other 3 are becoming unavailable...
But this is enabled after you choose some merc, if you are fighting alone and then at stage 4 you want to use merc you are able to do so, but you are activating the rule 3.