To my eyes, merlot is purple; it is aptly named. While oxblood is red+brown (maroon, or "oxblood") colored, and dark chili is essentially medium brown, I see Merlot as having distinct purple notes. The purple is subtle and can be quite formal - if not wearing black shoes, Merlot Hopkinsons are my usual suit shoes.
As an aside - someone asked a few pages ago if they could pair oxblood with merlot (can't recall which was belt and which was shoes). IMO, this would be a no-go. Purple with maroon is too discordant for me.
Here, I just took a picture of my Dark Chili Strand and my Oxblood Strand.
At least on my pair, Oxblood is very dark, nothing at all like the cherry red Oxblood someone posted a few posts up. I agree with you that Dark Chili is just a medium brown with just a slight hint of reddishness.