If you're writing a document in English, it's probably best to format dates like in English, and if you're not, you should change the spellcheck language. So it seems that your spell checker in Word is in English and your system is in a language that formats dates in the same way as in Swedish. These formats are the ones that are commonly used in each language. Here are a few examples of the output in different languages: You can change this language in the Review tab->Language->Set Proofing Language.
The format of the date inserted depends on the language in the spellcheck.
