Ursula A. shared this with us in microsoft.public.word.newusers:

When I paste a print screen of e.g. a dialog box into Word it is not
visible until I hit the enter key (sometimes) or print button. Why do
I not see the pasted print screen at first?

Perhaps because the image is too big to fit on the first page? I don't
know, really.
Is it there when you click the print preview? If yes, then all is OK.
If no: good luck... :-o