The problem is that there are no pages in a Word document. Documents are made up of several separate overlaid elements flowed into the space between the margins. The displayed page is not a fixed entity and cannot be treated as a single item. When you select and copy the page, you are only selecting the current story range. You cannot select items that are in other layers (such as the headers and footers) at the same time.
You can get around some of it by creating the new document from the old one, but anything more radical is going to be problematic.
Put your cursor in the page and run the following macro:
Code:
Sub CopyCurrentPageToNewDoc()
Dim oNewDoc As Document
Dim oRng As Range
On Error GoTo err_handler
ActiveDocument.Save
Set oRng = ActiveDocument.Bookmarks("\page").Range
Set oNewDoc = Documents.Add(Template:=ActiveDocument.FullName)
oNewDoc.Range.FormattedText = oRng
lbl_Exit:
Exit Sub
err_handler:
MsgBox "The document must be saved first!"
Resume lbl_Exit
End Sub