Doesn't work, you don't get a message or anything, but you can still tick improve at it.
Also
Code:
[Skills help] blitzkrieg
Syntax: blitz
Blitzkrieg, like other skills which fighters have, can be used during
combat to increase the damage done to their enemies. It allows those
wielding a slashing type weapon to make a single attack against everyone
in the front row of the enemy formation. The skill can be used but once
every few rounds.
The description is a bit ambiguous as to make no mention that you have to be in the front row, or that it only attacks those currently meleeing the Mercenary directly (Which is 100% silly, I see no reason why you can't blitzkrieg if you are in the front row and not being hit)