I don't see that behaviour, and I don't know of a setting to change it.
You can, however, end up with a space after the final word being included; those can be eliminated by holding down the Shift key and pressing the Left Arrow before copying. Conversely, when pasting immediately after some existing content, Word will ensure there is a space between what's already there and what gets pasted.
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Cheers,
Paul Edstein
[Fmr MS MVP - Word]
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