No version of Word has had that ability. However, here's a macro that will modify a data source that is in a Word document so that when that modified data source is used the labels will be printed in that order. If your data source is not initially
in a Word document, you could use a Directory type mail merge to get it into a Word document.
' Macro to assign numbers to data source so that it can be sorted to cause
labels to print down columns
Dim Message, Title, Default, labelrows, labelcolumns, i As Integer, j As
Integer, k As Integer
Message = "Enter the number of labels in a row" ' Set prompt.
Title = "Labels per Row" ' Set title.
Default = "3" ' Set default.
' Display message, title, and default value.
labelcolumns = InputBox(Message, Title, Default)
Message = "Enter the number of labels in a column" ' Set prompt.
Title = "Labels per column" ' Set title.
Default = "5" ' Set default.
labelrows = InputBox(Message, Title, Default)
ActiveDocument.Tables(1).Columns.Add
BeforeColumn:=ActiveDocument.Tables(1).Columns(1)
ActiveDocument.Tables(1).Rows(1).Range.Cut
k = 1
For i = 1 To ActiveDocument.Tables(1).Rows.Count - labelcolumns
For j = 1 To labelrows
ActiveDocument.Tables(1).Cell(i, 1).Range.InsertBefore k + (j - 1) *
labelcolumns
i = i + 1
Next j
k = k + 1
i = i - 1
If k Mod labelcolumns = 1 Then k = k - labelcolumns + labelcolumns *
labelrows
Next i
ActiveDocument.Tables(1).Sort FieldNumber:="Column 1"
ActiveDocument.Tables(1).Rows(1).Select
Selection.Paste
ActiveDocument.Tables(1).Columns(1).Delete
Another way is the format a Directory type mail merge main document with the appropriate number of newspaper columns, into the first of which you insert a one cell table with the same dimensions as those
of the labels that you are using and insert just one set of the merge fields into that cell, with nothing else in the document. When you then execute that merge to a new document, the output will be in the order that you want.