It would appear that you are clicking on the Start Mail Merge dropdown, which I something that you would have done before Selecting the Recipients, etc.
What you need to do is click on the Finish & Merge dropdown in the Finish section of the Mailings tab of the ribbon. Then select the destination that you want to use for the merge - either Edit Individual Documents or Print Documents.
I would probably suggest the Edit Individual Documents, which will create a new document with each of the envelopes in it, separated by a Section Break. That will allow you to check the envelopes if necessary and, by specifying the Sections that you want to print, by specifying the s#, print the envelopes in batches, or deal with issues that may arise when trying to have your printer print all of the documents in one go.