ma shlomha!

The problem is probably due to the email app's incorrectly parsing non-ASCII characters when emailing directly from Word, with the result that only one byte of each double-byte character (which is what Hebrew characters are) is output. Why they would only fail when emailing directly from Word is odd. That said, just in case there's a fault on the Office side of things, you could try repairing the Office installation (via Start > Windows Control Panel > Programs > Programs & Features > Microsoft Office (version) > Change > Repair).

__________________
Cheers,
Paul Edstein
[Fmr MS MVP - Word]

So I installed libreoffice 5.1, just to try and narrow down the problem. (I don't really like libreoffice so much, but for testing purposes...)
I found that the send to mail function works, and properly renders hebrew file names.

So that would indicate the problem is with Word, not with my email client.
I am using Affixa, it sends to Gmail (or other web-based email services).
But I had the very same problem with thunderbird, eMclient, and another one, I think mailbird. All of them, when receiving a command from Word, failed to properly render hebrew file names.

I have my windows system locale for non-unicode programs set to hebrew israel, so that's not the problem.

Any settings I can change in Word?