It's a bit fiddly but it can be done.
Try clicking Alt and F9 at the same time in your template. The merge field should change to look like
{ MERGEFIELD "Dates"}
Add in the date format you want it to use - eg
{ MERGEFIELD "Dates" @ "dd MM yy"}
And try merging again.
If that doesn't work, you need to also go to Tools > Options > General and tick the box for "Confirm conversion at Open" then when you select your data source click on the option "MS Excel Worksheets via DDE (*.xls)". I think you'll need to do that every time you select a new data source.
Hope that helps!