A family of Microsoft word processing software products for creating web, email, and print documents.
This has always been a "gotcha" with mail merge result documents.
The key is to understand that the merge creates section breaks and restarts page numbering.
You will find that every page of a label merge is page 1.
You need more information in your page selection to include the Section.
Turn on display of Page Number, Formatted Page Number, and Section in your status bar.
As Suzanne pointed out, you will need to tell Word to print certain sections. Only the section number is needed for labels but if you were dealing with a multi-page primary merge document you would need to also include page information in the format:
p1s3-p5s3