Well, Jamal, it is up to you to decide if it makes sense or not... and to choose the best solution that fits you..
Personnaly, i don't care if the database i create for a specific mail merge has header row or not... what it matters for me it's the result in the merged document that's what i'm after, i can delete that database after creating the mail merge...

Anyway, this thread is meant for Word Threads, not to Excel threads, your database is not excel only, there are a lot of database types... For mail merging, you can use even a word document with a single table in it containing your data. Just decide when connecting to database, to check or uncheck the option: my database has header row...