I am not aware of this behavior and I verified that it is not related to RadEditor by comparing the contents inserted by the MOSSLinkManager (this is the document manager of the built-in SharePoint editor) and the Document Manager dialogs. Both managers inserts identical HTML in the content area of RadEditor, which is a standard <a> tag with a href attribute pointing to the selected Word file.
Is it possible that the Word files are password protected?
My suggestion is to search in Google and in the SharePoint forums about the problem that you experience.
All the best,
the Telerik team