Nope. I saved the merge document. When I open it again everything on the Mailings tab to the right of Select Recipients is disabled. When I go through the process of Selecting recipients, ie. pointing the mergedoc at the same date source, then everything, including Finish & Merge, is enabled. My merge fields are all there (proving IMHO that I did save it) and everything works just fine.

I must be doing something wrong because surely users shouldn't be expected to pointlessly reconnect to the data source every time. But what can it be that am I doing wrong?