Ok, so it's a graphic. I've a notion that the problem isn't that the arrow is produced by conditional formatting in Excel, but that the graphic doesn't cut-and-paste well from Excel to Word. Try this to test: Copy the value of one of those cells to some new worksheet where no conditional formatting has been set, and trying copying that to Word. My guess is that it'll fail in just the same way.

If so, it isn't a solution, but it helps identify the problem correctly. Then maybe someone else will know how to solve it.