Most likely, a user of the New dialog was shown “right-click here and select this and now ‘Word Document’ and then…” and thenceforth has followed these instructions essentially as a mystic ritual which achieves a necessary result, without a real understanding of what the steps mean. They don’t know that they’re running a program, they just know they’re making a document appear on the screen. Though they could probably guess the phrase “Microsoft Word” is pertinent to the ritual, they don’t know what it refers to, so transferring that insight would be a matter of guesswork.

You could just as easily show them the steps on the Start menu, it’s true- but then you have the separate question of saving the file somewhere and being able to find it again later. I know from helping elderly relatives with their computer problems that “directories” are another confusing concept for a lot of people. Pointing to the Desktop and saying “save it here” makes intuitive sense and makes the file easy to find later, but to e.g. “Save As” to the Desktop from inside Word requires an understanding of the occult dual nature of the Desktop-as-a-directory and the Desktop-on-the-screen, which is an insight reserved for enlightened wizards. Using the New menu lets the user restrict all their interactions with the file system to, at worst, Windows Explorer, which is a huge simplification!

(Example of where this is coming from; once when my father, a practicing medical doctor in his 70s, needed to e-sign a PDF on an unfamiliar computer I spent about half an hour trying to explain the concept of “close the document in this app and open it in this other (e-signing enabled) app.” I could about as well have been speaking Greek, or telling a Flatlander about flying.)