Fellow Word MVP Peter Jamieson was the expert on data connection and had
some information on his web site, but he has withdrawn from regular use of
the forums and his site appears to be down. However checking his posts at
Google, it seems that the problem is associated with the way Word connects
to its data. See if the following helps:

From the Tools menu in Word, select Options and then go to the General tab
and check the box against the "Confirm conversions at open" item.  (In Word
2007 it is Office Button > Word Options > Advanced > General > Confirm file
format conversion on open). Then when you attach the data source to the mail
merge main document, you will be given the option of using the DDE method of
connection which should read the data as you have it formatted in the table.