Office / Word "open parameters" are defined differently from Acrobat / Adobe Reader "open parameters" for PDF.
Consequently whether you use PDFMaker or the MS Office (2007 / 2010) Save As PDF - XPS a Word hypertext link from a DOC01 to a DOC02 (or to the DOC02.pdf) will only provide a PDF Link annotation having an open file action.
(The link syntax ends at the file extension --- The "#" and everything after is stripped).
To read what is permissible with PDF Open Parameters download:
Note that they are only functional via a "proper" URL.
With other authoring applications (one example - FrameMaker) you can have authoring files with links to other marked content.
In the PDFs these become named destinations that are the PDF Links' "target".
To achieve what you desire coming out of Word, you'll have to post-process the PDFs to add destinations and then create / edit links to "target" these.
Word hypertext links *within* the Word file will carry through into the output PDF as functional PDF Link annotations.
So, inside the file -- ok. Outside the file - no.