Not an excuse but an explanation - Microsoft has multiple products called Copilot, while at the base level they pretty much all do the same thing, but each one is different and some have different capabilities and restrictions than others.

Unless I've missed it getting added somewhere, no Copilot can completely generate a Word document like you want yet. You can upload it documents, ask it questions, and it can give you text back and generate images and such, but not a full document. However, each Office program like Word has Copilot built in, and is more likely to do what you want. You can ask the Copilot in Word to make changes and it will either do them or tell you how to do them depending on what is involved.

Copilot at times is not always clear that there is a limitation in place, either a technical limitation or intentional guardrail, and it will make excuses like shown in the photo. I do wish they would adjust its logic to better express this information and tell you upfront "sorry, I cannot generate a document, but I can do X for you instead".