At the moment you can insert citations from the Word document (if it’s already in there) and your own Paperpile library (which is always synced automatically and available offline on your computer).
“Web-lookup” as we have in Google Docs will follow. There is lots to say about this particular feature actually. We invested quite some time to make the lookup faster and more accurate in particular for citing books.
For now please use the “Add > Search online” feature in Paperpile to add a reference. It should be available immediately to cite in the Word plugin.