e-books are not just a Word document that is turned into a PDF. There is an e-Book format that applies to them and MS Word does not support it.
Although it is possible to create the source document in Word, there is a fair amount of work to be done before it is ready for running through an app like Calibre to produce the final document.
Alternatively, if you use Apple's Pages, you can create the whole document and export it in e-book format.
If you still want to use Word, take a look at this article:
Hi. I created an e-Book in MS Word 2011 for Mac and only now see that when I create PDFs (either from within Save As/Export or from the Printer Menu) that it ignores the hyperlinks.
I have looked at many sites and it seems the only answer is the crazy expensive Adobe Acrobat X Pro for Mac (for which there is NO trial).