Merge is right, but you want "Mail Merge" in most cases for labels, instead of "Data Merge" see the following link for best instructions, if you have a specific program you would like instructions for, please feel free to ask, and don't forget to accept and rate! :)
You want step 11-13ish from this guide. Data merge is correct for Indesign, but did you have a page of sequentially ordered numbers? **Format below**
Ah, that explains the issue! Mail merge and other such merges, including those in MS Word, only use numbers for merge, you will want to remove "GDX" and if it must appear, you can simply place "GDX" in a text field just left of where your number output should be. This will make GDX appear but will not muck up your merge with it. Indesign also has a known flaw with "multiple merge" or, putting all the labels on the same page, this is most often done in MS Word to avoid this issue. (Unfortunately no known fix for multiple mail merge issue in Indesign, so the workaround is to have each label on a single page using "single page" merge settings.) Once that pesky GDX is out of the way, you should have no problem running the range from 115400 to 116400.
The Indesign error is what is causing the single record output. :)