Use the Location pulldown in the Insert EndNote dialog to set the location
to the End of the Section rather than the end of the Document in the mail
merge main document.  In the Format section of that dialog, you will also
need to set the Numbering to restart at each section.

If that doesn't work, use the following macro on the main document to
convert the end note to a "text note"

' Macro created 29/09/99 by Doug Robbins to replace endnotes with textnotes
at end of document

' to replace the endnote reference in the body of the document with a
superscript number.

'

   Dim aendnote As Endnote

   For Each aendnote In ActiveDocument.Endnotes

       ActiveDocument.Range.InsertAfter vbCr & aendnote.Index & vbTab &
aendnote.Range

       aendnote.Reference.InsertBefore "a" & aendnote.Index & "a"

   Next aendnote

   For Each aendnote In ActiveDocument.Endnotes

       aendnote.Reference.Delete

   Next aendnote

   Selection.Find.ClearFormatting

   Selection.Find.Replacement.ClearFormatting

   With Selection.Find.Replacement.Font

       .Superscript = True

   End With

   With Selection.Find

       .Text = "(a)([0-9]{1,})(a)"

       .Replacement.Text = "\2"

       .Forward = True

       .Wrap = wdFindContinue

       .Format = True

       .MatchWildcards = True

   End With

   Selection.Find.Execute Replace:=wdReplaceAll