Feya wouldn't be out of element because of teleporting to other worlds thanks to Merlin. Meeting Pokémon might make Dexter a bit jealous but Feya would do fine learning.
Mercy on the other hand would feel odd without pokémon around (except their own) and also dead worried about being separated from their loved ones.

At the very least, Mercy would end up near Feya's friends and Lea, so they'd figure out how to trace Feya's location and bring Mercy back. Shouldn't be too hard with Merlin's magic or even Riku's Gummi ship to get there!
On a related note, I headcanoned that Feya and Mercy would meet at some point to fight the Heartless in Mercy's world, so that'd make it even easier if the Magic/Ultra Wormhole incident happens afterwards.