I am able to paste into Word for Windows in Parallels, and it even properly creates the footnote; but all of my software is more current than yours, which is probably the factor causing your issues. I am using the following:
macOS Sierra 10.12.4
One thing to remember with Windows is that it usually requires CTRL-V instead of CMD-V to paste, although Parallels is usually good about converting the keystroke anyway.
Also, you mentioned wanting to use a more feature-rich version of Word. The current version of MS Word for the Mac has the most feature parity of any Mac version of Word ever. I have both of the current versions of Word for Mac and Windows on my machine, and I don't know of any difference between them. They've rewritten most, if not all, of the Mac version; and it's quite capable now. You can even paste in Hebrew and it displays in the correct order (finally!). And the current Mac version of Word would run fine in your version of OS X.
Here's the screenshot I meant to add.
Screen Shot 2017-02-21 at 10.55.59 AM.png 441.67KB