You should not have saved the mailmerge main document as a template (dotx), but as a document (docx). Saving it as a template means Word will create a new, redundant, mailmerge main document every time you click on the template to run a mailmerge and is liable to result in you getting the same SQL prompt to answer, twice.

Yes, you should answer 'yes' to the SQL prompt. By saving the document created from the template, you now have both a template and a mailmerge main document. You can delete the template - you don't need it. When you open the mailmerge main document, you will need to answer 'yes' to the SQL prompt before you can use 'Finish & merge' - which is the pre-requisite to 'edit individual documents'.

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Cheers,
Paul Edstein
[Fmr MS MVP - Word]