I've never tried pasting conditional formatting into Word, but I'd guess that Word doesn't know what to do with it. But then, Word' doesn't need to, does it? If conditional formatting in Excel causes some cells to be bold, or a different font or color, then that's how it'll look when it's copied into Word, right?

But you said the conditional formatting is an "arrow". I'm not sure what you mean. Is it a graphic, or a dingbat, or what?