The code examples in the documentation aren't always accurate.
In this one the Range object has been omitted. It should be:
Code:
Dim doc As Document, rngRange As Range
Set doc = ActiveDocument
Set rngRange = _
doc.Range(doc.Paragraphs(1).Range.Start, _
doc.Paragraphs(1).Range.End - 1)
rngRange.InsertAfter _
" This is now the last sentence in paragraph one."