I look at it like this (although this is a considerable simplification!).
The mail system on your computer has two parts: a low-level part called MAPI
which does stuff such as message delivery, and a user interface which in
your case is called Outlook. Some of Outlook's options are there to let you
control how MAPI behaves, and some are purely to control how Outlook
behaves.

Messages can get into Outlook folders in two ways:
a. you create them in Outlook (in which case the Outlook options to do with
message creation should be honoured)
b. something else creates them (in which case the Outlook options to do
with message creation will probably not be honoured. The most obvious
example of this is e-mails that have been sent to you by someone else.
However, options to do with how the e-mail as a whole is handled by MAPI
probably will be honoured.)

In essence, Word merge to e-mail does (b), not (a). To do (a), you may be
better off using the approach to creating e-mails described at

http://word.mvps.org/FAQs/MailMerge/MergeWithAttachments.htm

(it may help even though it is not intended to deal witht he specific issue
you have).

able to send the letter to the appropriate person via e-mail. However, when
using a customized attachment, I cannot write anything in the text of the
e-mail itself. I thought I could get around this by changing my automatic
signature to reflect the message I want to include, but the signature does
not appear in the mail merge e-mails as it does in my other new e-mails. Why
doesn't the signature appear in these e-mails?