Update:
If you add the following macro to your mailmerge main document, clicking on the 'Edit Individual Documents' button will intercept the merge and convert any email and hyperlink strings in the output document to working hyperlinks.
Code:
Sub MailMergeToDoc()
Application.ScreenUpdating = False
Dim bHead As Boolean, bList As Boolean, bBullet As Boolean, _
bOther As Boolean, bQuote As Boolean, bSymbol As Boolean, _
bOrdinal As Boolean, bFraction As Boolean, bEmphasis As Boolean, _
bHLink As Boolean, bStyle As Boolean, bMail As Boolean, bTag As Boolean
'Store the current autoformat options
With Options
bHead = .AutoFormatApplyHeadings
bList = .AutoFormatApplyLists
bBullet = .AutoFormatApplyBulletedLists
bOther = .AutoFormatApplyOtherParas
bQuote = .AutoFormatReplaceQuotes
bSymbol = .AutoFormatReplaceSymbols
bOrdinal = .AutoFormatReplaceOrdinals
bFraction = .AutoFormatReplaceFractions
bEmphasis = .AutoFormatReplacePlainTextEmphasis
bHLink = .AutoFormatReplaceHyperlinks
bStyle = .AutoFormatPreserveStyles
bMail = .AutoFormatPlainTextWordMail
bTag = .LabelSmartTags
End With
'Restrict autoformating to emails and hyperlinks
With Options
.AutoFormatApplyHeadings = False
.AutoFormatApplyLists = False
.AutoFormatApplyBulletedLists = False
.AutoFormatApplyOtherParas = False
.AutoFormatReplaceQuotes = False
.AutoFormatReplaceSymbols = False
.AutoFormatReplaceOrdinals = False
.AutoFormatReplaceFractions = False
.AutoFormatReplacePlainTextEmphasis = False
.AutoFormatReplaceHyperlinks = True
.AutoFormatPreserveStyles = False
.AutoFormatPlainTextWordMail = True
.LabelSmartTags = False
End With
'Execute the Mailmerge
ActiveDocument.MailMerge.Execute
'Apply the autoformating to the output document
ActiveDocument.Range.AutoFormat
'Restore the original autoformat options
With Options
.AutoFormatApplyHeadings = bHead
.AutoFormatApplyLists = bList
.AutoFormatApplyBulletedLists = bBullet
.AutoFormatApplyOtherParas = bOther
.AutoFormatReplaceQuotes = bQuote
.AutoFormatReplaceSymbols = bSymbol
.AutoFormatReplaceOrdinals = bOrdinal
.AutoFormatReplaceFractions = bFraction
.AutoFormatReplacePlainTextEmphasis = bEmphasis
.AutoFormatReplaceHyperlinks = bHLink
.AutoFormatPreserveStyles = bStyle
.AutoFormatPlainTextWordMail = bMail
.LabelSmartTags = bTag
End With
Application.ScreenUpdating = True
End Sub