Well, that's interesting.

When you re-open the document and Word forces you to locate the data source
whose location has now changed, Word gets the data correctly, but does not
actually update the information about where the source file is. So even if
you save the mail merge main document with what you might think is the
"corrected" data source name, Word actually saves the original data source
name.

So what you need to do is
a. open the document, and respond to whatever dialog box Word displays by
finding the data source
b. go through the data source selection /a second time/ (e.g. enable the
Mailmerge toolbar and click the second button)
c. re-apply any filters and sorts you want
d. save the document

Peter Jamieson