There is a thread to this question, answered in 2009, and again in 2014 (that there still was no perfect integrated solution):
But I was wondering if Indesign CC2015 made any progress regarding this...?
Put simply, no. With the exception of variable QR codes, Data Merge has remained the same since that post.
The current workaround of:
Is still the easiest solution with Data Merge.
Data Merge isn't the only way to import variable data. XML is another way but the learning curve is steep. The rewards are worth the effort, but prepare to invest some lots of hours into learning it!
Otherwise, perhaps consider a third party plug-in that may be more appropriate than Data Merge.
Rest assured, you're not alone. All I can suggest is to go to Feature Request/Bug Report Form and ask for it as a feature request.