I think there are always exception to every rule........I have known many blue merle shelties that are very nice dogs (I own a 10 year old blue merle and she is a great friendly outgoing dog)...but I am sure there are a few out there that are anxious...a badly bred sheltie of any color can be very skittish.
Same as a Siamese cat....I have know some really nice ones.......probably comes down to the breeding more so then the color itself.