Or there may be a way to do it in Word. In Word, you should have an Acrobat menu (in addition to the toolbar buttons). Look for Acrobat > Change Conversion Settings. Dig around in that dialog for options on how to treat hyperlinks. Apparently you have Internet links turned off.
You sir are a genius. I changed the settings, created a test Word document, and found that the bookmark was created automatically, and the hyperlink was preserved. Thank you so much.