I have to say I don't work on a daily basis with data like this so it's
quite possible that you have come up with a limitation in Excel that I'm not
aware of.

It is usually worth trying to change the connection method that Word uses to
get the data to see if that makes any difference (check Word
Tools|Options|General|Confirm conversions at open, go through the process of
connecting to your data source again, and choose each of the available
methods in turn. Typically you will see DDE, ODBC and OLE DB.

If the data is not private or confidential, you are welcome to despam my
e-mail address (remove KillmapS), send me a copy of the workbook (and
preferably the mail merge main document) and perhaps I will be able to spot
a problem or at least confirm that the behaviour is the same here.