I have created some graphic styles and saved them as the manual explains.

When using them in a new document I keep getting the conflict window asking if I wish to merge swatches.

What have I done to keep getting this unwanted conflict message?

It means some of the swatches/styles are identical to others already in the new document. Just agree to merge if they are the same.

PS If it's the 'black' swatch - have you changed it in another document? If so it's trying to replace the black swatch in the new document. If you have created a new black swatch with different values, then make it a new name, not just 'black' and you won't get the conflict.

I may be wrong but don't swatch names only cause a conflict when they are global color swatches?
I don't think non-global swatches would cause a conflict.