Use Alt-F9 to reveal the field codes in your mail merge main document. Your
address lines will then look more like

{ MERGEFIELD Address_1 }
{ MERGEFIELD Address_2 }
{ MERGEFIELD City } etc.

Change this so it looks like:

{ MERGEFIELD Address_1
}{ IF "{ MERGEFIELD Address_2 }" = ""
"" "
{ MERGEFIELD Address_2 }" }
{ MERGEFIELD City } etc.

Every pair of {} must be the special field braces you can enter using
ctrl-F9, You can't just type the { and } on the keyboard.

NB it can actually look like

{ MERGEFIELD Address_1 }{ IF "{ MERGEFIELD Address_2 }" = "" "" "
{ MERGEFIELD Address_2 }" }
{ MERGEFIELD City } etc.

with an "enter" immediately before the second { MERGEFIELD Address_2 } but
the layout is easily lost in these newsgroup messages.

Use Alt-F9 to make those codes disappear/reappear as necessary.