I seem to recall something very similar I experienced a few years ago.
That said, I just did a simple test in Excel and Word and by default the dates were appearing correctly in DD/MM/YYYY format in the word document.
Can I ask how the source dates are formatted in Excel? (i.e. what you see in the format, cells dialog with one of the date cells selected).
On my machine it has defaulted to a custom format I have setup of dd/mm/yyyy.
I think this behaviour can depend on the regional settings and date formats set on your PC, and also a date setting somewhere within office.
Let me know re: excel format and we'll take it from there. I suspect in my case I ended up exporting the data to another format e.g. Access/Text File and merging that way to avoid the issue, but can't recall as it was some time ago.