Data merge doesn't work with UTF-8 unicode file (CSV or TXT).
The sheet file aren't embbed to indesign project and can't use data.
It only works with ASCII and SHIFT_JIS but they didn't render well special characters.
Could you please fix this bug please ?
The movie file you attached did not come through properly. Could you put it at a shareable location (like WeTransfer, Dropbox, etc.) and share the link here.
Adobe InDesign team