A family of Microsoft word processing software products for creating web, email, and print documents.
You can only insert a PDF as an object in the windows version. Object insertion uses OLE, a Windows-only technology. Microsoft did a mini-port of it to Office for Mac, but it only supports insertion of Excel and Word objects in Excel, Word and PowerPoint.
You can insert a PDF as a picture in Word for Mac, which you can't do in the Windows version. You'll only get one page at a time, so you may have to use Preview to split the PDF to separate pages before placing in Word.