This macro requires not only Library APF authorization, but also SETCODE AC(1). If you browse the library, there is a column for the AC value. It will be either 00 or 01. Programs with value of 00 means the program is not authorized, and a value of 01 means it is authorized.
ACFMERGE needs to be 01. Here is a relink JCL example:
//S0000263 EXEC PGM=IEWL,
//SYSLIB DD DISP=SHR,DSN=SCEELKEX
// DD DISP=SHR,DSN=SCEELKED
// DD DISP=SHR,DSN=CSSLIB
//SYSLMOD DD DISP=SHR,DSN=CAI.CAX1LINK
//SYSDEFSD DD DUMMY
//AAX1MOD0 DD DISP=SHR,DSN=AAX1MOD0
//SYSLIN DD *
In order to resolve the issue please Relink load module ACFMERGE and change SETCODE AC(0) to SETCODE AC(1), then submit ACFMERGE to successfully update the ACF2 database.