Labyrinth question

You must do each individual Labyrinth; skipping to the next one doesn't give you credit for any earlier unfinished ones. You don't have to do them in order, and you don't have to do them when you're at a level close to the area level of the lab (I just went back to do the normal lab on my new character now that I've hit act 3 cruel), but you do have to do them.

Yes you can continue to merciless and even do maps and then come back to the labs whenever you want. Normally I get to the end of merciless before doing any of the labs.