In MS Word, when you go to "Insert -> Object..." you get a window where you can
select different kinds of objects to insert in your document.  Very similar to
way you do it in OOo.  However, in Word there is an option to insert the object
as an icon that isn't available in OOo.  (Sorry, I don't have a Word here with
the English interface to check the exact name of the option.  But it is very
obvious, on the right of the window.)

When you insert an object (say, an embedded text document or a spreadsheet) as
an icon, its contents don't appear embedded in a frame in the usual way.  You
get an icon representing the document.  When you double-click on the icon, the
embedded document is openned in another window for editing.

These feature is very much used by some of our users here and I'd like to see it
supported in OOo.

BTW, when you import a Word document containing such icons OOo tries to preserve
the Word functionality as I gather from issue #60487.  If it can import
correctly such things I think it should support their creation as well.