When you want to merge one Lightroom catalog with another, you first need to export from the 'old' catalog. You can do this export with or without including the negative files (photos). If you did the export without the negatives, Lightroom will just export the contents of the catalog which will include a reference (or pointer) to where that negative lives but will not include the actual file. In this case, there is no file to move or copy since all you have in the export is the metadata and edit commands that Lightroom stored in the catalog. From your description, it appears that you did the export without including the negatives or Lightroom would have detected the existence of the files and allow you to select the option to import them.
You can handle this in one of two ways. You can rerun the export but this time be sure to include the negatives and then import the new catalog or you can import what you have and then move the negatives separately. Lightroom will know where the 'old' files are stored so it is a simple matter of moving them to a new location. Just be sure to perform the move (I suggest doing a copy and then cleaning up later) from within Lightroom or you will cause additional difficulties. When you make changes to your files/folders in Lightroom, the catalog is updated with these changes. Lightroom will also update the OS so Finder/Explorer is also aware. The reverse is not true. If you make the changes using Finder/Explorer, Lightroom will continue to believe that nothing has changed. When you look at your Catalog, folders will be displayed as dimmed and previews will display exclamation point badges indicating Lightroom can't find the image files where the catalog says they are located. Always make these sorts of changes through Lightroom to avoid having to relocate things later.
Given all of this, my personal choice would be to perform another export to a new catalog and include the negatives and then import that newly created exported catalog into your master. Procedurally, this would be the simplest.