When creating an interaction that has an attachment with a wizard type of 'Open' (i.e. template 'BUS' in Cronus), the mailmerge functionality only works in the RTC, not in the web client. When creating it from the web client, you can only open a copy of the Word template with merge fields. None of the Interaction contents are actually merged into these merge fields.
In response on a support ticket that I registered at Microsoft, it is stated that:

'Windows Client works well, as we can still run DotNet components with property RunOnClient = Yes to merge data and to create word documents. With the WebClient we do not allow this and therefore the current state is that you can download only the document which is not helpful at all. This will be handled in a feature design change request and is not in scope of a typical request for hot fix.'

Since we are moving to a 'web client only' situation, this feature should (imho) be quickly redesigned to have it available in the Web Client. Hopefully this will be before the October 2019 release.

Regards,
Michiel