Well, a bit of good news and possible issues. The good news as I have been able to make it work, but there are some differences between what I was doing before
Differences
- I am on my laptop rather than my desktop. They have 'identical' software to best of my knowledge
- The excel database is on my internal drive rather than a OneDrive
- The word document (saved as 97-2004) is also on my internal drive rather than my OneDrive
In the following link http://www.msofficeforums.com/mail-merge/21803-mailmerge-tips-tricks.html

the recommended construction is as shown above.
But in the link provided by Barney-15E, it shows the recommended construct to look like (see below)

The only difference is an extra pair of quotes.
So my merge document was a 'Labels' document that looks like this after a 'Labels Update'

I then did a 'Finish & Merge' with the following result

So you can see the links are present. I have been able to do this many times in the past.
In the past after a Select All and then ALT+F9, I get the correct names and an empty picture box. BUT this time, I got my pictures loaded

In conclusion, this positive outcome could be due to the difference I mentioned at the top of this note OR the extra quote marks. Preliminary testing indicates that if I remove the extra quote marks it still works. I can not test the differences mentioned at the top of the note for a few days, but will report back when I get a chance.