Fixing You'll need a new app to open this ms-word
Bradley Schacht is a Principal Program Manager on the Microsoft Fabric product team based in Saint Augustine, FL. Bradley is a former consultant, trainer, and has coauthored 6 SQL Server and Power BI books, most recently Learn Microsoft Fabric. As a member of the Microsoft Fabric product team, Bradley works directly with customers to solve some of their most complex data problems and helps shape the future of Microsoft Fabric. Bradley gives back to the community through speaking at events such as the SQLBits, Fabric Community Conference, PASS Community Data Summit, SQL Saturdays, Code Camps, and user groups across the country including locally at the Jacksonville SQL Server User Group (JSSUG). He is a contributor on SQLServerCentral.com and blogs on his personal site, BradleySchacht.com.
The solution is easy and took less than 5 minutes to resolve. First, let me show where the actual issue resides and then the solution. The problem is that the file type/protocol association for MS-WORD is broken. To identify if this is the same problem open Control Panel (not the Windows Settings app) and navigate to the Set Associations page located at Control Panel > Programs > Default Programs > Associate a file type or protocol with a specific program. This lists what application should open each entry. Scroll down to find .doc, .docx, .docm, etc. and you will likely notice that they are set to open in Word 2016 (or some other version of Word currently installed). These are not the entries we need though. Recall the message in the browser popup referenced "ms-word". Continue scrolling to find MS-WORD in the list. Here we notice the URL:Word Protocol is associated with what is identified as an "Unknown application" where it should be associated with Word 2016. 
To resolve the association issue run a repair on Microsoft Office. This can be done by locating Microsoft Office in Control Panel > Programs > Programs and Features > Uninstall or change a program. Right-clicking on the Microsoft Office entry will give the option to Uninstall or Change the installation, choose Change. A screen will appear asking to do a repair (Quick Repair or Online Repair) at which point I chose Quick Repair. All Office applications will need to be closed and in just 2-3 minutes the repair was complete. 
Returning to the file and protocol associations page in Control Panel now shows that MS-WORD is set to use the default application Word 2016. 
Finally, returning to the browser and clicking the link to open the document in Microsoft Word does in fact launch Word. 
There you have it: a relatively simple fix!