Hi,
I've encountered the same problem and I got it resolved eventually. The VBA code I used was exactly the same as yours. So I think your case probably is the same -- the reason to have this error is that you haven't successfully linked the data source file to your mailling template (i.e., this MS Word document). So maybe you need to use the "Preview Results" button to examine whether the link has been built successfully. And remember to run the Macro in the template document (the one only has single page and links with your data source well), instead of the output integrated MS Word document with multiple pages.
I'm just a beginner on VBA so I couldn't explain the deep causes but hope this can help!