I don't seem to find an answer to my question, so I have decided to do
the merge manually in the case of preserveChanges=true.

The behaviour we want is to merge every row from an incoming dataset
in the original dataset but without modifying row that are already
modified in the original dataset.

If it can be any help, here is the code that does this:

//////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
public static void Merge(DataSet dsOriginal, DataSet dsNew, bool
preserveChanges)
{
    if (preserveChanges == false)
    {
        dsOriginal.Merge(dsNew);
    }
    else
    {
        foreach (DataTable dt in dsNew.Tables)
        {
            // do we have something to do?
            if ( dt.Rows.Count > 0 )
            {
                DataColumn[] ardc = dt.PrimaryKey;
                object[] arPrimaryKey = new object[ardc.Length];
                foreach (DataRow dr in dt.Rows)
                {
                    // compute the primary key
                    for (int i = 0; i < arPrimaryKey.Length; ++i)
                    {
                        arPrimaryKey[i] = dr[ardc[i]];
                    }
                    DataRow drOriginal =
dsOriginal.Tables[dt.TableName].Rows.Find(arPrimaryKey);

                    if ((drOriginal != null) && (drOriginal.RowState !
= DataRowState.Unchanged))
                    {
                        // don't merge this row
                        dr.Delete();
                        dr.AcceptChanges();
                    }
                }
                // merge the remaining rows
                dsOriginal.Tables[dt.TableName].Merge(dt);
            }
        }
    }
    return;
}