What is your OS and version of Word. Older versions of Word and Windows did not allow embedding of Word files, I am unsure of more recent versions, but will check.
i found this happened too on my user.
i'm using :
1. Microsoft Office 2010 x64
2. Adobe Acrobat 10 Standard
I read some articles said that you need to disable the "Enable protection bla bla bla" which is disabled on AA 10 Standard by default.
At last it's solved after i uninstall the x64 Office 2010 and install the x86 Office 2010.
I don't know why but its works.
Hope its works to you too.