After you have pasted the resulting text into Word, do you see paragraph marks (¶) or line breaks ("bent" arrows) separating the items?

Does it make a difference if you paste as "Unformatted Text" instead? Doing that would add the content but not the bullet format.

If you want to, you can share a sample document with the forum, so that we can have a closer look.

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Stefan Blom
Microsoft Word MVP

Microsoft 365 apps for business
Windows 11 Professional