Try this- In Word, go to options and on the GENERAL tab check the "CONFIRM CONVERSION AT OPEN" box. When you choose your source, in your case Excel, choose the "MS EXCEL WORKSHETS VIA DDE (*.XLS)". This option apparantly treats the import a little different than the default value Word uses when the "CONFIRM CONVERSION" is not checked.
NOW, prior to completing your merge, open your Excel Spreadsheet. Formatting of that column may be crucial. If you are like most, this zip+4 is new and all the zips you entered are 5 digit with the exception of the 9 digit zips you are having trouble with. IF you SPECIAL format the column using the "Zip Code +4" option , then "0000" are added in front of the 5 digits, and the 9 digit zips appear unchanged. If you save the file and complete the merge in Word, then all the 5 digit zips you have come out like this: 63447 = 00006-3347. I'm not sure if the postal service will like this format.
SOLUTION-- close Word and re-open the Excel file. Re-format the ZIP column using the SPECIAL format of just "Zip Code". The "0000" that appear with the 5 digit zips are now gone and the 9 digit zips are basically unchanged. Complete your merge and it should come out like you had hoped.
Hope this works for you--FINDOG