Your error message indicates that you are saving your file in WORD 6.0/95 format in your PDF. This is a very old Word format predating Unicode.
Unless you have some particular reason for converting to WORD 6.0/Windows the obvious fix is to change your compatibility options so that the conversion does not convert to WORD 6.0/95 format. Personally, I can't think of any reason why you would want to make such a conversion.
For a quick check, you can always just convert the document using the current settings and see what characters it can’t handle. It is possible that you will find no problems. The error message only indicates that some characters “might” not display.