I have the same issue, and when I link a Facebook contact with an iCloud contact on my iPhone, it's not synced on my Mac and vice versa; if I link a Facebook contact with an iCloud contact on my Mac, it's not synced on my iPhone...
I think iCloud can't store the link you make with Facebook contacts because the they don't appear in iCloud (try to find your facebook contact on the iCloud website, you will not). The link is done only in the local contact database and is not synced.
I don't think it's possible for now to have this synchronization, and Apple should correct this- but maybe I'm doing something wrong.
EDIT: I tried something new: on the Mac, instead of merging the two cards, I just filled some additional information in the Facebook contact (for example, the phone number of the iCloud contact); what it does is it creates a new iCloud contact directly associated with the Facebook contact and this time the sync works. On my iPhone, the contact appears with all the information as a unified contact!
This means that it is not the lack of Facebook contacts in iCloud, since iCloud is able to make this sync; the bug is more on the "merge two contacts" function in both the iPhone and Mac's Contacts app.