Setting the option "Mark reference document as Read-Only after saving" works when I invoke MS Word by double-clicking on the reference file name. My documents are then recognized as Read-Only when I access them in Word.
This is the way the functionality was intended. Choosing the option "Mark reference documents as read only" is intended to make the documents read-only for applications "outside" Caliber. Caliber automatically marks all documents as writable when opening them within in Caliber. When closing the document within Caliber it again marks them as read-only.