Huh. I've used it before with XML in ID (it worked perfectly), but never using Data Merge. How are you specifying it in the CSV?
I think you'll be better off using some temporary string and search-and-replacing it in InDesign after the merge is complete.
Yeah, it'd be easier than actually trying to figure out whether or not it worked in Data Merge. Some kinds of ID breaks survive some kinds of roundtripping through other import/export formats, some do not.