I don't know why you are seeing a diffeence between the mail merge main
document and the output, but I would
a.Ensure you do not have either a \*Charformat or \*Mergeformat switch
inside the ADDRESSBLOCK filed (use alt-F9 to have a look) and apply the
paragraph formatting you want to the entire block.
b. merge to a new document, and if you are still seeing the problem, try to
compare the character and/or paragraph formatting in the two documents
c. if you are using any INCLUDETEXT fields, the problem could be that you
are using the same paragraph or character style name with different
formatting in the including and included documents - if so, change the style
names in one of the documents to avoid a clsh.

Peter Jamieson