A family of Microsoft word processing software products for creating web, email, and print documents.
It's possible that your privacy setting doesn't allow downloading of online content. Go to File > Options > General and click the Privacy Settings button. Under the "Connected experiences" heading, if the check box in "Experiences that download online content" is empty, check it and then restart Word.
You may also need to look farther down the page to the "All connected experiences" section, and turn that on if it's currently turned off.
Usually, if either check box is unchecked, you should see this when you try to insert an icon, rather than going immediately to the File Open dialog:
The Work Offline button would then display the File Open dialog.