A family of Microsoft word processing software products for creating web, email, and print documents.
I believe this is a known issue with watermarks at the moment.
However, you may be able to insert an image (or text box) manually by anchoring it to the page header. Change the image transparency to make it more "washed out." It will then be the same as something that you added via the Watermark facility. See also http://wordfaqs.ssbarnhill.com/AnchorToHeader.htm.