I would not expect the prompt for delimiters to appear once you've done the basic setup - unless you change the data source or disconnect from it and have to reconnect.
Unless you've moved the CSV file to a different folder or renamed it, or you're using a different CSV file each year, you shouldn't need to change the source. If indeed you're using a different CSV file each year, try using a generic filename for the current year (e.g. 'Mailing List.csv') in the same folder every time, then renaming/moving it to the 'year' folder it after the mailmerge is done.
Microsoft introduced that some years ago, to warn users against running documents containing possibly malicious SQL code. If you answer 'No' to the prompt, the document disconnects from the data source. There is a registry edit for suppressing the warning.

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Cheers,
Paul Edstein
[Fmr MS MVP - Word]