Thank you but that's because it's the first time when I am using VBA and I am using a code that I copied from the internet and that I'm trying to fix it by myself without any VBA knowledge what so ever.

I actually managed to use the code from the link that you provided and modify it in a way that it doesn't give me tons of errors but I got the same results, it saves files without Header/Footer.

This is the code that I modified, obviously the name of the files that are generated are a mess but I didn't manage to save them with the name that I wanted without receiving errors:

Sub Merge_To_Individual_Files()' Sourced from: https://www.msofficeforums.com/mail-merge/21803-mailmerge-tips-tricks.html
Application.ScreenUpdating = False
Dim StrFolder As String, StrName As String, MainDoc As Document, i As Long, j As Long
Const StrNoChr As String = """*./\:?|"
Set MainDoc = ActiveDocument
With MainDoc
StrFolder = .MailMerge.DataSource.Name
i = InStrRev(StrFolder, "\")
StrFolder = Left(StrFolder, i)
  With .MailMerge
    .Destination = wdSendToNewDocument
    .SuppressBlankLines = True
    On Error Resume Next
    For i = 1 To .DataSource.RecordCount
      With .DataSource
        .FirstRecord = i
        .LastRecord = i
        .ActiveRecord = i
        If Trim(.DataFields("Batch_Number")) = "" Then Exit For
        StrName = .DataFields("Batch_Number") & "_" & .DataFields("PO")
      End With
      On Error GoTo NextRecord
      .Execute Pause:=False
      For j = 1 To Len(StrNoChr)
        StrName = Replace(StrName, Mid(StrNoChr, j, 1), "_")
      Next
      StrName = Trim(StrName)
      With ActiveDocument
        'Add the name to the footer
        .Sections(1).Footers(wdHeaderFooterPrimary).Range.InsertBefore StrName
        .SaveAs FileName:=StrFolder & StrName, FileFormat:=wdFormatXMLDocument, AddToRecentFiles:=False
        ' and/or:
        .Close SaveChanges:=False
      End With
NextRecord:
    Next i
  End With
End With
Application.ScreenUpdating = True
End Sub
So same results with this one, no Header/Footer ...