In Word, click Alt-F9. Instead of seeing something like <<last_name>> or
your data, you should see something like

{ MERGEFIELD "last_name" }

or maybe

{ MERGEFIELD "last_name" \*Mergeformat }

The curly braces are special "field code braces - you can't type them on the
keyboard. But everything else is ordinary text. What you need to end up with
is

{ MERGEFIELD "last_name" \*Charformat }

and to ensure that the " M" immediately after that opening curly brace has
the format you want, i.e. bold in this case.

Then Alt-F9 again to make those field codes turn back into <<>> format or
your data.

If you can't see the field codes easily because they are in a table cell,
it's sometimes helpful to cut-and-paste the field codes into another
document, edit them there, then paste them back.