It's not the end - at least in Office 2002 SP1, Mail Merge seems to process dates as text format internally even when exporting from database and spreadsheet formats!!! Which means that a good amount of dates will be formatted wrong in non-US locales - for example, January 5, 2006 will be shown as 5/1/2006 by default, and if you apply the format token "\@ d MMMM yyyy", it becomes May 1, 2006!
You can avoid this by exporting to Microsoft Word Merge text format (.txt + schema.ini) - it does seem to respect current locale settings, so the dates appear correct, but it does not support quote marks in text strings - they show as
\" in merge fields... Good work, Microsoft - one pitfall after another