To whom it still may concern:
- Open Adobe Reader.
- From Edit menu select Preferences, Preferences dialog box appears.
- Select General category on the list, uncheck or remove tick mark for “Enable protected mode at startup”
- Simply Close and reopen the application and the embedded object should now open perfectly.
If you are same way unlucky as me and still have this issue after applying workaround above, you can try following: ZIP PDF file and add ZIP archive into Word document
Last option is install FoxIt PDF viewer and keep Adobe Reader as default one.
Only problem with "FoxIt workaround" is that PDF file is inserted with incorrect icon. To fix this in Insert -> Object -> Create from File -> click on "Change Icon..." -> "Browse..." -> locate your Adobe Reader binaries (for me it is: C:\Program Files (x86)\Adobe\Acrobat Reader DC\Reader\acroRd32.exe).