It's a problem in the OLEDB provider that Word uses to get the data (or so
we are told). I believe there is a patch/update for this, but I do not think
it is available on the MS web site - you have to contact Microsoft PSS to
get it.

As a workaround,
a. either try checking Word Tools|Options|General|"Confirm conversions at
open", go through the connection process again, and choose either ODBC or
DDE as the connection method or
b. construct queries in Access that return the data you need with the dates
in the format you want to print (e.g. using the format() function, and use
those queries as the data source for your merge.

--
Peter Jamieson
MS Word MVP