It looks as though the water levels between the two lakes are equal; so that should work fine – you’ll lose a fraction of a block worth of water height as some water moves to fill the dug-out gap, but given how much you have in the big lake I doubt it will even be enough to notice.
I would suggest you dig the connecting “river” in small sections to prevent large water flows; otherwise the game gets very laggy trying to merge lots of different sections together. It’s also a good idea to dig almost up to the other lake, and then let them merge all along that face all at once; rather than digging the whole river and allowing the water to “meet in the middle”, since that can again cause a fair bit of lag.
You may get a single error if the water fails to equalise properly; although that may be enough to make the Lua throw a tantrum… worth taking a backup save just in case.
Good luck, and let us know how it turns out