Select the first two «First» & «Last» mergefields, then press Sift-F9. You should see:
{MERGEFIELD First} & {MERGEFIELD Last}
Edit these to show:
{MERGEFIELD First \* Charformat} & {MERGEFIELD Last \* Charformat}
and format the 'M' in each of the 'MERGEFIELD' strings with the font attributes you require. When you're done, click on 'Update Labels', then run your merge.

__________________
Cheers,
Paul Edstein
[Fmr MS MVP - Word]