When I use one DEM in my study area to delineate watersheds, the results are different from when I mosaic 4 DEM layers adjacent to each other. After the mosaic process, 3 of the basins were merged in one large basin, and 2 other basins got larger extent.
I would recommend looking at automatic stream network delineation and/or known stream locations features, and overlaying those as a check on the final watersheds created through whatever procedure you have. Watersheds can be merged or lumped together, which is fine, you just want to make sure it is consistent with the other information you have and what your goal is. There will always be some variation in the exact extents of the watersheds depending on what algorithm you use, but you should definitely make sure the general areas and drainage patterns are consistent with what you expect. Beyond that, I am not sure there is a correct answer.