Having to specify sections seems an unnecessary complication, but it's easy enough once you know how. There are at least two other ways to print a range of pages from the merged document. Another choice is to remove the section breaks. What box, then delete each break manually as Word finds it. Before you delete them, however, be aware that there's at least one good reason to keep section breaks instead of relying on automatic page breaks.
Word creates label formats with tables, using one cell for each label.
Unfortunately, if you want to print a section of a table that spans a page break, you can run into a problem. If you select, say, the last row on one page and the first row on the next, you may not have the option of printing the selection, depending on how you selected it. On the other hand, if you replace the page break with a section break, you can use any approach to selecting text and still print the selection. Inserting a section break in merged labels automatically sidesteps a potential source of confusion and frustration. Be aware that Word 6 and Word 7 do not, by default, reset the numbering to page 1 in a merged document.