Well I have come up with a really dirty solution which I would still like to streamline.
I do the mail merge into a word document, save the document as a single web page. Import the web page into excel and run a macro to remove any rows that have nothing in one of the columns. Then I apply a bit of conditional formatting and it seems to work.
This has meant adding some invisible text into rows I want to retain i.e. titles and spacing rows, but on the whole it works.
It's a shame it can't be done in one hit but it has cut 2 days of manually entering data into a pre-prepared spreadsheet down to half a day fiddling with the data so, I suppose, that is a bit of a win and does cut out any human error that could be introduced when copying all the figures manually.
I will keep on experimenting and, maybe, I will stumble across a really slick solution