I see what you're trying to do - your video was very clear. The problem is that once that code is exported to Excel, it's no longer really HTML tags - it's just text. So it's almost like when you have a number that Excel recognizes as text and you have to use the =Value formula to convert it to a number.
So assuming we can't export the data in the format we prefer, we're stuck with trying to convert text that looks like a tag to an actual tag. Given that Excel doesn't really handle formatting well, we're probably better off just trying to do it in Word after you've merged. One thing is that you may have to first save your doc such that you have the actual text, not fields., in the doc.
Here's an example of something that does what you want (albeit on a small scale): https://wordtohtml.net/site/index. If you paste your text in the box on the right, you'll actually see formatted text appear on the left. It's not the way it's meant to be used, but it works. And after it's presented the formatted text, you can click the "clean up my code" button, and anything in what you pasted that was unnecessary is deleted. And here's someone with the opposite problem trying to insert the tags: http://www.techsupportforum.com/forums/f57/insert-html-tags-into-word-document-646040.html.
I think you're going to need a macro or script to do what you're asking. Perhaps there's something out there, but I didn't find it, and I see you're using a Mac (which is something I stay away from). Here's a tip if you decide to just get rid of the 'tags': http://appscout.pcmag.com/your-questions/274429-delete-html-tags-from-a-word-document.
