This is a limitation of the merge architecture.  One page setup is used for all letters, which is selected from the first document. Microsoft Word requires the entire document to have the same margin size, header, breaks, and footers throughout, so we take the margin size, header, and footer for the first conditional document and apply it to the entire master document.   As a result, all documents within a conditional merge template will have the same margin size, page breaks and header/footer content as the first conditional document.

Alternative solution:

If different page setups are needed, create constituent or gift queries based on the condition and use a simple mail merge for each query rather than using the conditional mail merge.  The margins save when creating a simple mail merge through the Mail Merge Wizard.

OR

If different page setups are not needed, make changes to the page setup in the first document.  This includes margin size, page breaks, header and footer content, as needed.