Yes, I was just previewing.
But going all the way through and completing the merge made no difference. I also mailed the merge to some test addresses to check and the link remained the original link not the mail merge link.

However, I have now found that Method 1 on this link
http://support.microsoft.com/kb/912679
whilst a bit cumbersome works.

The resulting field codes look the same, so I do not know why the results are different.