I have never used headers... just footer on page 1 which is fine. . But you suggested a clue.. at one point made header margin smaller or zero since didn't want taking any room on top. I just opened one and edited header to no header, saved, closed.

When reopen still has the Mail Merge pane. When clicking where header would be still shows a header section but nothing but a paragraph symbol when reveal codes...which I can not delete. But can finding nothing to do with mail merge in header,footer or anywhere I find, yet pane comes up...