A partir da pesquisa que fiz até agora, parece que isso só pode ser feito de forma programática (pelo menos em versões mais antigas do Word).
por exemplo. link
Your guess that you needed to add some code to populate your drop-down combo box is quite correct. VBA allows you to assign a value to the combo box's Value and Text properties (in reality, they're the same property) from the user interface, which lets you add only a single item to a drop-down combo box. This, of course, isn't terribly useful, since presumably you're using the combo box to allow the user to choose from among multiple items. This is precisely one of those quaint features of the MSForms controls--in Microsoft's retail Visual Basic product, it's very easy to populate a combo box at design time.
In almost all cases, you want to populate the combo box before the user sees it, so that the user can select from among the available items. Fortunately, Word makes this easy. Whenever a document opens, Word checks the code behind a Word document for the presence of a procedure named Document_Open. If it is found, the code is executed. (The procedure, incidentally, is called an event handler, since it's automatically executed by Word in response to some event, in this case the document's being opened by the user.)
Código VBA agora adicionado e funcionando, mas um pouco surpreso por não parecer ser uma maneira de fazer isso através dos menus ...