This is normal behaviour. When you merge to a new document, in the general
case you get multiple copies of your original document, so Word cannot
sensibly retain the bookmarks. I suppose that
a. in the case where you only merge one record, or merge to e-mail
attachments, it could theoretically retain the bookmarks, but it doesn't.
b. Word could in theory make copies of the bookmarks with different names
(e.g. if you had a bookmark called "abc", it could generate bookmarks called
abc1,abc2 etc. But it doesn't.

So if you need bookmarks in the output document, you'll need to mark up the
original document in some other way than using bookmarks, and postprocess
the output to re-insert them. You won't even be able to do that if you are
merging to e-mail as you have no access (as far as I know) to the output
document.

Peter Jamieson