Unfortunately I suspect you will have real difficulty getting this to work
withut resorting to some VBA and postprocessing, since the {REF}/{fieldname}
approach is an undocumented trick that can't really be relied on as you have
discovered, and there is no other simple way to get formatted text from a
data source in a merge.

The only fairly obvious things I can think of are
a. there could be a paragraph style clash between the HTML file and your
mail merge main document.
b. the first paragraph could be more affected by the formatting of the
paragraph containing the {fieldname} field than the other paragraphs

I think in your situation I would consider one of the following
a. doing the merge to an output document then using Find/Replace and/or VBA
to fix the formatting (if it is always clear what it needs to be, and you
can easily locate the texts to be fixed)
b. convert the HTML to a .doc before merging and see if that makes any
difference
c. seeing if I could extract and re-use the correct formatted text directly
from the HTML using Word VBA, then perhaps "roll my own" merge code to do
the job.

Best I can do, sorry!

--
Peter Jamieson - Word MVP