Solution: The data-file for the mail merge must be connected as "OLE DB Datasource".
Connect your data-file with Select Recipients and select your text or CSV file. In the Confirm Data Source dialog, select "OLE DB Database Files" and click OK.
If the Confirm Data Source dialog does not appear you have to enable it in the Word Options. Go to Word Options | Advanced | General and activate the option "Confirm file format conversion on open". Then reconnect your data as described above.