<<Next record>> simply tells Word to move to the next record in the data
source and continue processing the merge fields in the current document.

The chances are that the problem has nothing to do with <<Next record>> but
that Word has not correctly recognised the format of your (original) data
source. You might be able to tell simply by setting up a new blank document
as a Directory/Catalog merge, putting a few Merge fields into the document
(and no <<Next record>>, then performing the merge. If merge generates
output that has data for each record in your data source, then that theory
is probably wrong, and cannot tell you what the problem is; if Word produces
output for only some of the records, the theory may be correct.

Peter Jamieson