Why having a killable merchant makes it so irresistible to whack the poor guy? I don't think I ever killed a merchant. What's the fun?
I don't think ramping up a shop's defense means anything as long as abusing save/load is on the table. I do have distaste about the unkillable characters, either. It's not like I ever bothered to kill a kid back when they were mortal in fallout 2.
An excellent way to protect a shopkeep is to integrate the guy into the environment. Take, for example, New Reno: killing Jagged Jimmy J would cost you an extremely valuable informer on the streets. And why would you ever kill Renesco, with his connections to half the families in the city? The guy deserved a good beating, I have to give it to him, but blackmailing him into giving up half of his crap was so much sweeter. On the contrary, when T-ray steals your car, you have no qualms about ending the dude. Why? Because nobody in the city will mourn him.