I don't know what has happened, but ...
a. which version of Word? Are you viewing the document in Print Layout
view?
b. does the numbering disappear on all pages? Are you doing a "Letters"
type merge or a "Directory" type merge? Are you previewing the results, or
merging them to a new document. Does the numbering reappear when you Print
Preview ?
c. Do you have any hidden text in your header?
d. If you look in File|Page Setup (for the Mail Merge Main Document), are
there any settings such as  "Different headings on Odd and Even Pages" which
might cause headings to be applied to some pages and not others?
e. what if you generate a completely new pleading template from scratch
using the pleading wizard?

Peter Jamieson