Yes, also if both send a message (string of 1s and 0s) at the same time it will botch both messages, you basically need a little processor to act like a traffic signal.
Midi Solutions is the only company that makes a tiny, 2 in, 1 out merge box, I believe, which is strange, as most electronic musicians will need something like that at some point.
Some well designed controllers will have the option to merge the midi in signal with the local midi and send the combination out of the midi out jack.