OK, this is weird. I've played around in the Word document and noticed a strange behavior. It seem that there is no page #2! Every other page I do a GoTo to work, but page #2 bring me to the end of the document. Printing page #2 print the last page (which is blank). This may explain why PrintOut doesn't work for me.
I've found a workaround:
loWord.Selection.GoTo (0, 1, 3)
loWord.ActiveDocument.PrintOut (, , 2)
>Probably not. As far as I know the mailmerge creates sections having one page per section, and each page has the number 1. Try to insert page number into the header to see the real things.