A family of Microsoft word processing software products for creating web, email, and print documents.
If you access the Start Mail Merge dropdown and select Normal Word document, that WILL strip the data source from it so that when you then save and re-open the document, the SQL warning message will NOT appear.
While it is possible to modify the registry so that the SQL warning does not appear, as you have external users involved, that is not a workable solution as it will only apply to your machine.
If you are still having a problem, send me a copy of the document, referencing this thread in the covering email message, and I will investigate the issue.