I did some testing and this works for me in Word. I can also use False instead of wdAlertsNone. I have no idea on why that doesn't work for you.
Code:
Sub TestOpen()
Application.DisplayAlerts = wdAlertsNone
Documents.Open FileName:="C:\aaa\MailMergeTest.doc"
Application.DisplayAlerts = wdAlertsAll
End Sub