Selected Answer
There is no "merging" of lists. The task is accomplished by marking all items on the original list as "responsive" if they are NOT included in the second list, and as "unresponsive" if they also appear in the list of unresponsivle URLs. This is the formula that does the job.
=IF(LEN($A2),ISNA(MATCH($A2,'Failed URLs'!$A$3:$A$100,0)),"")
Note that the lookup range of A3:A100 is intentionally much larger than required. If you expect a list of unresponsivkle URLs of 500 make the range comprise 1000 cells, just so that you don't have to worry about it being too small.
At the core of this formula there is the MATCH function which looks for a match in the "failed" list for each item in the "Original" list. MATCH is embedded in the ISNA function which translates a successful match as FALSE and an unsuccessful one as TRUE, meaning if the URL was found in the list of failures ISNA returns FALSE which the list presents as a Status of "FALSE" = "Unresponsive". The entire formula is then embedded into an IF statement which creates a blank cell if there is no URL to look up. This happens when the formula is next to cells without an URL, at the end of the list.