The 'Update all labels' process should propagate the setup from the first label to all others on the page. If it doesn't do so, you should still be able to copy the content from any of the populated labels and paste its content into the others (just make sure each label ends up with only one «NextRecord» field.

Two additional points:
1. DDE is old technology that has been superseded by both ODBC and its successor, OLE DB. You should only use DDE as a last resort, as it only works with the first worksheet in the workbook, and only for named ranges that names that reference the first sheet and have either workbook scope or the same scope as the sheet.
2. The Address Block often does a poor job of managing address layouts, including being unable to suppress blank lines in an address. You're generally better off inserting the required mergefields, where required, and using the available switches, etc. for controlling blanks lines, etc.

PS: Please post mailmerge questions in the mailmerge forum (to which I've moved your post).

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