It probably does, under Tools>Letters and Mailings>Mailmerge, but as it
confuses so many people, it perhaps should be called the mail merge
magician.  You are probably better off going to the View menu and selecting
Toolbars and then click on the Mail Merge item to display the Mail Merge
Toolbar.  You can do everything that you need to with that.

Or you can get the old Mail Merge Helper by selecting Customise from the
Tools menu and then on the Customise dialog, select the Commands tab and the
All Commands category and the scroll down through the list of commands until
you come to the Mail Merge Helper item and then click and drag it onto a
toolbar.