Ugh... It's been a while since I've used Active Sync... And to be honset, when I had an actual PDA, I never synced anything more than programs
If I recall correctly, you could specify what folders it would search under for documents. Confirm the correct folders are selected and that you have .DOC files. I'm thinking it'll only copy word documents.
Oh...and a thought, you're not trying to copy docx files, are you? I don't know much about the latest Windows Mobile release, but does it even support docx?