Nothing has changed, except the way the merge document is connected to the data source. Early Word versions used DDE which was notoriously flaky but it did provide the format from Excel.
That option is still available -
From the File tab in Word, select Options and then go to the Advanced tab, General sub heading and check the box against the "Confirm file format conversion on open" item. Then when you attach the data source to the mail merge main document, you will be given the option of using the DDE method of connection which should read the data as you have it formatted in the table.
However I don't recommend it as it is unreliable and no longer the default (and may be abandoned altogether). It is better to use formatting switches to provide the required format - see Formatting fields with switches