Copying from GIMP

You seem to be right about MS Word, it doesn't work for me.
But it pasted fine in Wordpad, Paint, and OpenOffice Writer.

Personally, I avoid pasting pictures into MS Word, even when it works. There's a long-standing bug in Word that causes your file size to grow very large when you copy images from other programs and paste them.
In Word, it's better to start with a saved image file and choose Insert>Picture>From file. That keeps your file size manageable.