I hear you, Bob. Believe me, I hear you. (And MS has heard me complaining
about this for a long time, too!)
This feature was removed in PPT 2002 (aka PPT XP). You'll need to find a
machine with PPT 97 or 2000 on it to do your Send to Word in B/W.
On that machine with 97 or 2000 on it...
Make sure you're in normal edit view (not slide sorter).
Make sure you're in black and white view (View/Black and White).
If your machine has 97/2000 *and* a newer version of PPT, you'll need to
make sure that you select Paste Link when you do the File/Send to Word. If
you only choose to Paste when sending to a newer version of Word, your slide
thumbnails will come out in color. Choosing Paste Link from PPT 97/2000
opens Word 2002/2003 with slide thumbnails in black and white.