You aren't doing anything wrong.

As I said in another conversation that started today...

There are problems in this area in some versions of Word (which version are
you using?), because
a. Word generates an SQL query to get the data from Excel
b. Word either adds stuff to the query that should not be there, or in some
cases, the query does not actually work as it should

Broadly speaking there are two ways you can work around it:
a. you can try connecting via DDE, which will in most cases get the data
you asked for, but only if it is in the first sheet in the workbook and does
not contain non-ANSI Unicode characters
b. you can use Word VBA and the OpenDataSource method to issue the query
you really want (and to redo that, if necessary, each time you open the
document. But let's only go into the details of that if necessary.

Peter Jamieson