Hi TishyMouse,
Yes, unless you specify a storyrange (and there are various ways of doing this), Word assumes you're only referring to the main story.
While the selection might not have been the 'problem', your code can be made much more efficient without it:
Code:
Sub ProcessShapes()
Dim DocSource As Document, DocTarget As Document
Dim RngStry As Range, Shp As Shape
Set DocSource = ActiveDocument
Set DocTarget = Documents.Add("Normal")
For Each RngStry In DocSource.StoryRanges
For Each Shp In RngStry.ShapeRange
With Shp
.Copy
DocTarget.PasteAndFormat (wdPasteDefault)
End With
Next
Next
Set DocTarget = Nothing: Set DocSource = Nothing
End Sub