It sounds like a step has been left out. I always merge to "Individual Documents" so that I can check that the merge went ok then print from that document. The "Individual Documents" are really just the labels shown on Word pages. It isn't a whole bunch of Word documents.

Merging to Printer doesn't give you the chance to stop the process if something isn't right.

After doing that, hold down the Alt key and hit F9 to toggle the field codes. All labels except the first label should start with { NEXT }. If all the labels don't have the { NEXT } to start, something has gone wrong with the merge. Look for what is different between the labels that show correctly and those that don't. It is probably something simple.