That's why I emphasized "should." I can't imagine why it wouldn't work,
since each letter should replicate the section layout of the mail merge main
document.

If you can,
a. ensure that an experimental multi-section document with page 1 set up to
print to one tray and pages 2-n to print to a different tray prints as you
expect. If it doesn't, either Word doesn't work as it should or your printer
driver is not behaving correctly (which wouldn't surprise me).
b. If the behaviour in (a) is correct, try experimenting with merging to a
new document. with different trays for page 1 and pages 2-n. Select the
output document and use File|Page Setup to verify that page 1 and pages 2-n
are associated with the correct trays in all the sections. Then try printing
the document. If all is still OK, you have a workaround (merge to document
first then print), but there is an error in Word when merging directly to
printer. If it isn't OK, it suggests that even when merge is merging to a
new document, it is handling sections erroneously, in a different way from
when you set them up manually.

If you just need to produce the results you want, you can use a macro to
perform one merge for each record in the mail merge data source (this
assumes the simplest case where you aren't processing multiple records for
each letter), e.g.:

Sub OneMergePerSourceRec()
'

' NB, needs bettor error management and doubtless other things a VBA expert
' will point out.

Dim intSourceRecord
Dim objMerge As Word.MailMerge
Dim strOutputDocumentName As String
Dim TerminateMerge As Boolean

' Need to set up this object as the ActiveDocument changes when the
' merge is performed. Besides, it's clearer.

Set objMerge = ActiveDocument.MailMerge
With objMerge

' If no data source has been defined, do it here using OpenDataSource.
' But if it is already defined in the document, you should not need to
define it here.

'  .OpenDataSource _
'    Name:="whatever"

 intSourceRecord = 1
 TerminateMerge = False

 Do Until TerminateMerge
   .DataSource.ActiveRecord = intSourceRecord

   ' if we have gone past the end (and possibly, if there are no records)
   ' then the Activerecord will not be what we have just tried to set it to

   If .DataSource.ActiveRecord <> intSourceRecord Then
     TerminateMerge = True
   ' the record exists
   Else

     .DataSource.FirstRecord = intSourceRecord
     .DataSource.LastRecord = intSourceRecord
     .Destination = wdSendToPrinter
     .Execute
     intSourceRecord = intSourceRecord + 1
   End If
 Loop
End With
End Sub

Peter Jamieson