There is no function in Word's merge to merge PDF attachments. For that you need VBA code, such as
http://www.gmayor.com/ManyToOne.htm . One to one mode will allow you to add as many pre-prepared PDFs to your merged messages as you wish - though watch out for e-mail size limits - and emulates a regular merge to e-mail. However this process is not mail merge and requires the data to be in Excel format.
It sounds as though you are inserting links to PDF files. Those links will only work if the recipient has access to the file locations.