After some tests, I'm still unable to reproduce the issue. And I have no idea why copy-pasting text from one Unicode-compatible to another Unicode-compatible app can give such results.
There are several things you can try:
Inside SSMS, save the script as an Unicode file: Save → Save with Encoding... → Encoding : Unicode (UTF-8 with signature). You will then be able to open it probably correctly in Word. The problem is that syntax highlighting will be lost.
Save the script as an Unicode file, than reopen it and copy-paste. Maybe SSMS assume for some reasons that there is some fancy encoding by default, so this will force it to use UTF-8 instead.
Try to paste in different applications (for example the browser). Looking at the first line at your screenshot, I remember once seeing the same problem with some browser renderings described on Wikipedia (can't find the link).
Try copying the same text from Visual Studio (if installed). Copying source code from Visual Studio to Office programs preserve syntax highlighting, so if you observe the same issue, it may come from this syntax highlighting feature.
If nothing works, report the problem to Microsoft Connect, describing precisely the situation so the people at Microsoft will be able to reproduce this issue.