There are any number of reasons you might need to insert a PDF into a Word document, and my recent experience with doing this in Word 365 is: a PDF icon appears, not the document.
My workaround, in case it will be useful for you as well, was to convert each page of a three-page PDF into a jpg file and then insert each jpg into a separate Word page by clicking on Insert and then selecting Pictures from the drop down menu.
First step: save each page of the PDF individually.
Second step: convert each PDF page to a jpg file (I did this using PDF24)
Third step: on a PC press ctrl + enter to create a page break for the first jpg you need to enter.
Fourth step: insert the jpg version of your first PDF page by clicking on Insert, then Picture, select the device where your jpg is stored, go to the folder where it’s saved, and click on the jpg you want to insert
Fifth step: press ctrl + enter to create another page break and insert the next jpg
Hope that’s helpful!
You’re almost there 