A family of Microsoft word processing software products for creating web, email, and print documents.
It is normal to receive that SQL warning message when opening a Mail Merge Main document that has a data source attached to it.
Your second screen shot indicates that when the mail merge main document was previously used with another data source, that data source had a space after the word Number in that field of the data source, and that if as you claim the headers are the same, that is not quite the case.
If you send me a copy of the mail merge main document and the data source, referencing this thread in the covering email message, I will investigate the issue.