Merged mining is indeed a very good idea IMHO.
What I would be very interested in, is merged mining with Vertcoin.
Hope that hashharder will implement that combination, EXE-VTC, soon.
As cool as merged mining EXE and VTC would be, I think code would have to be changed with EXE to support merged mining. Which is why Parallaxcoin is the only one you can merge mine anything else with (EXE/PLX, VTC/PLX, etc).
Thats not true, you can mine Monocle with everything else too.
But yes, exe has no mm support.