[Jarrett]

I managed to do it eventually!

I realised that it is of paramount importance to press Enter and not Shift+Enter to start a new line (¶), otherwise Word will always leave a gap between the two lines, even if your formula is correct.

So this is the formula:

{ MERGEFIELD Company }¶
{ MERGEFIELD Address_1 }{If { MERGEFIELD Address_1 } = "" "" " " }¶
{ MERGEFIELD Address_2 }{If { MERGEFIELD Address_2 } = "" "" " " }¶
{ MERGEFIELD Address_3 }{If { MERGEFIELD Address_3 } = "" "" " " }¶
{ MERGEFIELD Address_4 }{If { MERGEFIELD Address_4 } = "" "" " " }¶
{ MERGEFIELD Post Code } { MERGEFIELD Town }¶
{ MERGEFIELD County }{If { MERGEFIELD County } = "" "" " " }¶
{ MERGEFIELD County }¶

I found the right formula by reading this very useful guide:

https://wordmvp.com/FAQs/MailMerge/MMergeIfFields.htm