I think the answer to my question is no but I want to be sure.
If I create a segment with a Profile Merge rule and user one has three devices but has only authenticated on device one does the system capture device two and device three?
You are quite right. In your example, Audience Manager will not tie devices 2 & 3 to a user's profile (until the time when the user authenticates on these devices). We would need a common identifier to tie the user's devices together. This common identifier is the user's Customer ID which is synced with Audience Manager IDs on an authentication event.
You are quite right. In your example, Audience Manager will not tie devices 2 & 3 to a user's profile (until the time when the user authenticates on these devices). We would need a common identifier to tie the user's devices together. This common identifier is the user's Customer ID which is synced with Audience Manager IDs on an authentication event.