Oh, icon sets! I didn't even know those existed.

...And I strongly suspect that Word doesn't, either. Still, I think my earlier advice would be diagnostic: If you set up a cell with a value and that icon without conditional formatting, and then copy a range including that cell to Word, I'm betting the arrow icon won't make the move in that case, either. If that's the case, then the problem isn't conditional formatting per se but rather how to copy icons from Excel to Word.

I don't know the answer to that question either, but the first thing is to figure out what is the cause of the problem.