Late binding not working as expected with PowerPoint MergeShapes method in VBA

Why does this not work when executed in Late Binding mode?

Option Explicit

#Const EarlyBinding = True

' To test in PowerPoint 2013 or later:
' 1. Add two shapes e.g. rectangles, to a slide and select them
' 2. Run Test with EarlyBinding set to True
' 3. Run Test with EarlyBinding set to False, which will generate a type mismatch error
Sub Test()
#If EarlyBinding Then
  ActiveWindow.Selection.ShapeRange.MergeShapes msoMergeUnion
#Else
  ' Late Binding
  Dim oSel As Object
  Set oSel = ActiveWindow.Selection
  oSel.ShapeRange.MergeShapes msoMergeUnion ' -> type mismatch error
#End If
End Sub

Select allOpen in new window

At the point the error is generated I examine the TypeName for oSel and get Selection so I don't understand why it's raising the mismatch error. If i change this line:

Dim oSel As Object

Select allOpen in new window

to this:

Dim oSel As Selection

Select allOpen in new window

then it works as expected but I need it to work in late binding mode.