I'd trust Harry's word more than mine (I'm Australian after all, grammar is not one of our specialties
), but I agree with him. And not just Word's. The best you can really hope for from a grammar checker is to achieve someone's idea of what is formally correct. Fiction is generally much looser. And anyway, writers gradually develop their own style - it's part of the art form - so the only grammar checker that a writer would ever find all that useful would be one written for themselves.
One thing that I have found useful is to keep a document that lists errors (or questionable usage) that I commonly make, along with the relevant search string that helps to find them (OpenOffice supports regex searches which can be useful, I suppose Word does too). I try to remember to keep this up to date as I discover things I do regularly. Some errors I've slowly grown out of ("it's" vs "its" was a real bug-bear with me, I know the correct usage but my fingers would constantly get it wrong, but I'm getting better). Other things that have showed in my list have been an over use of "seemed" and "looking", and repeating "the" - I'm sure we all have our own built-in glitches. When I'm starting a technical review I use this list of errors to check for things that I know I'm guilty of, checking each instance to make sure it's valid and appropriate. That still leaves all the one-off errors, but that's why we still need external editors.