Did you follow the information provided by Microsoft to enable default
return addresses in Word?
From MS Word Help:
Specify a default return address
1.. On the Tools menu, click Options, and then click the User
Information tab.
2.. In the Mailing address box, type a return address.
Note The next time you print an envelope, the address you specified
automatically appears in the Return address box on the Envelopes tab of the
Envelopes and Labels dialog box. Make sure to clear the Omit check box.