After some searching, this does seem to be a known problem.

I have managed to get it working now with a file dsn, below, but this
is not the ideal solution as the database will be remote hosted and the
clients distributed. If anyone has any solutions or know the versions
that do support this please let me know.
thanks.

' ~~~~~~~~~ using a file dsn
ActiveDocument.MailMerge.OpenDataSource mydsn, , , , , , , , , , ,
"DSN=mydsn", strSQL
ActiveDocument.MailMerge.Execute