Generally when we obtain something good we feel special especially if it is something we want. This is true when we approach God. People who believe in God approach Him for material gain and when that gain is fulfilled they feel God has blessed them and that He is taking care of them. Like this they profess loyalty to God. So generally people think that obtaining material opulence means God is showing His mercy on them and that they are special in the eyes of God.
Real mercy as described by our spiritual preceptors is when God intervenes in our life in such a way that He removes all our unwanted desires and unwanted habits that is a hindrance to our service to Him. He removes our "ahankar" or materialistic ego so that we will not be attached to the fruits of our labor. Because it is this attachment to the fruits is causing us to be bound in this world and be born again and again. Therefore to free us from this greater pain of birth and death, God, to show His real mercy, actually gives us small material pains so that we give up our material ego and consequently give up our attachments to our fruits. This renunciation of fruits actually will pave way for unalloyed devotion towards God. As long as we are attached to our material ego and fruits of our work (gross or subtle) we will have the tendency to enjoy the fruit and be the controller of the fruit which in the big picture will destroy the desire to fully surrender to the Supreme Absolute Truth.
Therefore real mercy is when God helps to cut this hard knot of attachment to the fruit of labor and fully engage our energy in serving Krishna, anything other than this is not mercy but a bane.