Is your panel in Topic mode or Reference mode?
Ah yes, I totaly misread! It is still early hours here, I was not fully awake it seems ;-) Sorry!
I have found the possible cause of this problem!
If a table is used within the Word document somewhere between where the cross reference source is and its destination then that particular cross reference will be broken as described above in my initial post.
So the "fix" is to remove any occurances of a table in the Word document and the cross references come into InDesign perfectly. This is actually not a fix at all. I need to use tables in the Word document for layout purposes so if they break cross references if they stand between them and their destinations then I have to compromise, i.e. use tables but with no cross references in the document or vice versa.
I found a similar issue recently with index markers in Word causing a shift on the cross reference tags when bought into InDesign. The "fix" again for that was to remove all index markers from the Word document. See post about this here: http://forums.adobe.com/thread/1043981
InDesign really needs to sort out the issues with importing of Word documents with cross references in them. If I can't use index markers and tables in a Word document without breaking its cross references then they can't claim to have the ability to import a Word document while maintaining its cross references into an InDesign document. It just doesnt work as ive painstakingly proven.