Dimitirios,
You're running into a tight bounding box issue.
In the case in which the vertical line is missing in the imported file, the bounding box (of the eps file) appears to be aligned with the right side of the axes box and because of that, Word excludes that vertical line when drawing the image. Ungrouping the image in Word, or printing from MATLAB with the -loose option should result in that line being visible in the imported image.
To print with the -loose option use:
print(fig1,'-depsc','FigureLOL.eps', '-loose')
When the xlim upper bound is lower (e.g. with xlim([0.5 5]) in your question) the calculated bounding box is a bit larger. This is because parts the rightmost errorbar actually extend just a tiny bit beyond the axes box when we print to eps with the painters renderer. The result of the slightly larger bounding box is that the right side of the axes box is included when Word draws the image.
I hope that helps.
