Hi Steve,
I understand that you are trying saving the document from the Word 2011 to SkyDrive Pro library directly.
Based on my research, I found that we couldn't save documents from Word 2011 to SkyDrive Pro library directly at this time. Given the situation, as a workaround, please save documents on the computer desktop first and upload it to the SkyDrive Pro library.
For the requirement mentioned here, I recommend you submit feedback to our product team. Many features of current programs were designed and upgraded based on many customers’ feedback.
Additionally, here is a thread for your reference.
http://community.office365.com/en-us/forums/153/t/127652.aspx
Thanks,
Ida Qiu