Very interesting - I had not realised that.
Excel workbooks (up to and including Excel 2003) have a palette of 56
colours that can be used in the workbook. They have defaults but they can be
changed to any 56 colours you want - but a maximum of 56 different colours
can be used in any single workbook.
Drawings in Excel have a basic palette of 40 colours which defaults to the
first 40 of the 56-colour workbook palette. If you use one of the palette
colours in a drawing it retains a link to the workbook palette and the
colours in the drawing will change to reflect colours in the palette if the
palette is changed. You have the option, however, to use any one of the full
range of 16 million colours and if you do so, the link to the palette will
be broken and the absolute colour will remain with the shape regardless of
workbook palette changes.
Word documents (Word 2000 and later) can use all 16 million different
colours in a single document and do not have a palette.
Drawings in Word have a basic palette of 40 colours just as Excel drawings
do. The default palette is the same as the default Excel palette but there
is no mechanism to change it or to attach it to a document palette because
there is no such thing as a document palette. Whatever colours are used,
whether directly from the drawing palette or from the full range of colours,
they will act as those in Excel which are not attached to the workbook
palette do.
Powerpoint drawings (up to and including Powerpoint 2003) do not have a
colour palette in the same way - the default colours available are related
to the presentation colour scheme and will change if the colour scheme is
changed, but you have the same option as in Word or Excel to explicitly use
any of the full range of 16 million colours if you want to.
Stating the bare facts more plainly:
* Excel has a workbook palette you can change
* Drawings in Excel default to using the workbook palette
* Word is not restricted to a palette
* Drawings in Word default to a fixed built-in palette
* Powerpoint has colour schemes which you can select
* Drawings in Powerpoint do not have a palette
* Drawings in all applications can use the full range of 16M colours
So the answer to your original question (which you suspected anyway) is that
you can't change the palette in Word.
Just so that you know, drawings in all three applications behave
differently, with regard to colour, in Office 2007 with the introduction of
Themes.