This wizard pops up if the Fax printer is set as the default printer. Before you do Fax Merge, ensure that 'Fax' is not setup as your default printer.
Go to Control Panel.
Double Click 'Printers and Faxes'.
Right Click on any other printer that you want to make your default printer (except "Fax").
Click 'Set as Default Printer'.
If the "Send Fax Wizard" still pops up then uninstall and install the following:
Go to 'Control Panel' > 'Add/Remove Programs' > 'Microsoft Office' > 'Add/Remove Features' >
'Word' > 'Wizards' > 'Fax Wizard'.
You will get asked: "Do you want fax wizard to appear every time you send a fax?". Click No.