Neil,
This is referred in MS KB q240809 and as a workaround :
APPLICATION.OLERequestPendingTimeout = 0
is suggested. However it doesn't work in your case.
This works :

DECLARE integer GetForegroundWindow in WIN32API
DECLARE short IsWindow in WIN32API integer
declare Sleep in win32API integer

** create WORD server
oo = createobject("word.application")
oo.visible = .t.
** maximize WORD
oo.windowstate = 1
oo.activate

gHwndWord = GetForegroundWindow() && Save word window handle

** create wait state to keep WORD on DeskTop
do while IsWindow(gHwndWord) # 0
  =Sleep(1000) && Do nothing for 1 sec
enddo
do returnme
messagebox("You closed WORD")
oo = .null.
release oo
messagebox("Automation Reference Is Gone")

procedure returnme
messagebox("You are in Procedure: Returnme")

Cetin