Right clicking the icon in the title bar should reveal the location of the file (Mac OS X standards...)
In any other Mac OS X app, when you right click the icon in the title bar, you get a drop down of where your file lives in your file system.
When you click the enclosing folder, it pops that up in the finder. SUPER handy when you are trying to figure out where you saved that file.
I have not found a way to do that in Office and it's SO frustrating when Microsoft ignores standards that Mac users expect.
Paul Gries commented
I really need this too. I'm being driven to Google's suite because of the lack of this feature.
I really need this. Office has it now if you dont have OneDrive syncing the file locally, but as soon as OneDrive is used this feature is replaced and disappears.