I want to know if there is anything that you cannot do with SDK that was exposed in the COM interface?
The OpenXML SDK is a convenience layer for the OpenXML file format. Using this SDK you can do everything that is possible to do with the file format, e.g. insert, modify and remove content, metadata and formatting.
In contrast to COM automation of Office you can't do anything that is related to application logic. To give you some examples: Using the OpenXML SDK, you can't know the page number of a certain element in a text document because that would require pagination, you can't recalculate the formulas of a spreadsheet because that requires Excel's math engine, or you can't convert a presentation slide into an image because that requires PowerPoint to render the slide.
Regarding Word, you can have a look at the following presentation which demonstrates when to use the OpenXML SDK vs. Office automation: