I agree, seems like the merge was never completed. Here's the process I went through, using the Step by Step Mail Merge Wizard -

> Labels > Select Starting Doc > Change Document Layout > Label Options

> Select Recipients > Use Existing List > Browse > MailingList.xlsx

> Select Table > Addresses > Mail Merge Recipients (all boxes checked)

> OK > Screen shows <<Next Record>> for each record (this is where the problem starts, I think - there's only one page of these <<Next Record>> items)

> Arrange Labels > Address Block > Match Fields > Replicate Labels > Update All Labels

> Preview Labels > Complete Merge

Now here's the strange part - if I go back to the Preview Labels screen and click repeatedly on >>, eventually it will show the rest of the records. So it looks like all the records are there, just not appearing onscreen or in the printouts.