I just did a word merge test and mine showed up in history.  Not sure why
any merge steps would make a difference as this logging is handled after the
merge step inside outlook and any of its BCM hooks.  That said, this is how
I do merge.  Try these steps to see if it makes a difference.

1) Select your users from Quick report and click the Create marketing
campaign from selected users button at top right (i.e. second little horn)
2) Name your campaign, select email, and select Word E-mail Merge in drop
down.
3) Select orange link "Create a new document or file".
4) Save the blank document or add some text and save.
5) Click Launch.
6) Add your merge fields and finish the document.
7) Save the doc when your happy with it.  Just click Save to keep same name.
8) Run your merge from word as normal.
9) After sending merge email - each contact (with email linking enabled)
should show the document in contact history.

--wjs