Originally Posted by macropod

Word won't ordinarily change merge formatting on you, so it seems there is more going on than you've described. One workaround would be to select the mergefields for the last two lines, then press Shift-F9 to reveal the field codes, which will look something like:
{ MERGEFIELD MyField } or { MERGEFIELD MyField \* Mergeformat}
You can then add a Charformat switch to the field, thus:
{ MERGEFIELD MyField \* Charformat}
and format the 'M' of 'MERGEFIELD' with whatever font attributes you want. Delete the Mergeformat switch, if present. Press F9 again to update the fields when you're done. Your formatting should now be preserved during the merge.