At the top of the console log for a build running on a Gitlab merge request, I see output similar to the following:
16:12:10 Querying the current revision of merge request #1...

16:12:10 Current revision of merge request #1 is 30c945266d014280630074dafbe6ba31991adc90*

16:12:11* Obtained Jenkinsfile from 56e3895c10f6163a93e025647e8e0dfcfa88ca9d+30c945266d014280630074dafbe6ba31991adc90

i.e. it should be the Jenkinsfile as if the two commits identified are merged together.

However, that does not seem to be the case - it seems that the Jenkinsfile it uses is that from the source branch head only (and this is how it looks if I examine the Jenkinsfile in Replay)

I have replicated this using a simple test repository as follows:

1) Create a new repo
2) Commit the following Jenkinsfile to master:

echo "one"

3) Branch off master
4) Add the following to Jenkinsfile on the branch:

echo "two"

5) Add the following to Jenkinsfile on master:

echo "three"

6) Raise a merge request

When the build runs, it will echo one and two, but not three.

I have conducted the same test against a Bitbucket branch source, and that seems to work correctly, which suggests the issue is with the plugin rather than Jenkins core.