Tried a completely different approach, which helped me before when
events were not fired through the automatically generated COM
interops. The only difference is that I used early binding before, so
I could inherit from the original interface.

The code below works, events arrive in the class.
Now I want to get rid of the early binding:

assign the guid to the class using GuidAttribute
giving all methods there proper DispID's

it still works !!!

So now I remove the  ": Word.ApplicationEvents2" from the class
definition.
Hoping that .Net will provide the IUnknown and IDispatch.

Unfortunately the UCOMIConnectionPointContainer.Advise is now throwing
an exception (HRESULT = 0x80040200) (interface specific error code
(FACILITY_ITF == 4).)

How do I continue now, should I provide the IUnknown and IDispatch, I
have no idea how ?!?!

I have the feeling I'm really close, if this works the only thing I
have to do is replacing all the parameters that are Word type with
object and I'm in business.

Anyone ?

Here is the code:

public class Connect : Object, Extensibility.IDTExtensibility2
{
    ApplicationEvents2 appEvents = null;

    public void OnConnection(object application,
Extensibility.ext_ConnectMode connectMode, object addInInst, ref
System.Array custom)
    {
        appEvents = new ApplicationEvents2( application );
    }

    // omitted the rest of the wizard generated code
}

[GuidAttribute("000209Fe-0000-0000-C000-000000000046")]
// This code works, but I can't remove the interface from the class
definition
public class ApplicationEvents2 : Word.ApplicationEvents2
{
    // .Net COM stuff, thought the COM times were over
    private UCOMIConnectionPoint icp2;
    // deja vu, the cookies are back
    private int cookie2 = -1;

    IntPtr wordAppIUnknownpointer = (IntPtr)0;

    public ApplicationEvents2( object wordApplication )
    {

        try
        {
            Trace.WriteLine( "*** Connecting ApplicationEvents2" );

            // COM magic
            UCOMIConnectionPointContainer icpc;
            // Guid of the ApplicationEvents2 dispatch interface
            Guid guid = new Guid( "{000209Fe-0000-0000-C000-000000000046}" );
            //Guid guid = typeof(Word.ApplicationEvents2).GUID;

            icpc = (UCOMIConnectionPointContainer)wordApplication ;
       
            icpc.FindConnectionPoint(ref guid, out icp2);
            icp2.Advise(this, out cookie2);
            // end COM magic

            // save the IUnknown pointer for identification later on
            wordAppIUnknownpointer = Marshal.GetIUnknownForObject(
wordApplication );
        }
        catch( Exception e )
        {
            Trace.WriteLine( e.Message );
        }
    }

    /// <summary>
    /// Clean up any resources being used.
    /// </summary>
    public void Dispose()
    {
        Dispose( true );
    }

    /// <summary>
    /// Clean up any resources being used.
    /// </summary>
    public void Dispose( bool disposing )
    {
        if( disposing )
        {
            // Release event sink
            if (-1 != cookie2) icp2.Unadvise(cookie2);
            cookie2 = -1;
        }
    }
    #region ApplicationEvents2 Members

    [DispId(3)]
    public void DocumentChange()
    {
    }

    [DispId(10)]
    public void WindowActivate(Word.Document Doc, Word.Window Wn)
    {
    }

    [DispId(14)]
    public void WindowBeforeDoubleClick(Word.Selection Sel, ref bool
Cancel)
    {
    }

    [DispId(9)]
    public void NewDocument(Word.Document Doc)
    {
        Trace.WriteLine( "NewDocument" );
    }

    [DispId(7)]
    public void DocumentBeforePrint(Word.Document Doc, ref bool Cancel)
    {
    }

    [DispId(6)]
    public void DocumentBeforeClose(Word.Document Doc, ref bool Cancel)
    {
    }

    [DispId(12)]
    public void WindowSelectionChange(Word.Selection Sel)
    {
    }

    [DispId(8)]
    public void DocumentBeforeSave(Word.Document Doc, ref bool SaveAsUI,
ref bool Cancel)
    {
    }

    [DispId(1)]
    public void Startup()
    {
    }

    [DispId(13)]
    public void WindowBeforeRightClick(Word.Selection Sel, ref bool
Cancel)
    {
    }

    [DispId(11)]
    public void WindowDeactivate(Word.Document Doc, Word.Window Wn)
    {
    }

    [DispId(2)]
    public void Quit()
    {
    }

    [DispId(4)]
    public void DocumentOpen(Word.Document Doc)
    {
    }

    #endregion

}