Welcome to VBA Express!

You're adding two different shapes.

Inlineshapes are on the Text layer while Shapes are on the Drawing layer.

From my research, you can't Zorder a InlineShape; only Shapes. But you can change from one shape to the other.

So, having stuck my neck out...

Sub Macro1()
With Selection.InlineShapes
    .AddPicture FileName:="C:\wetude\s.png", LinkToFile:=False, _
    SaveWithDocument:=True, Range:=Selection.Range
End With
With ActiveDocument
    .InlineShapes(.InlineShapes.Count).ConvertToShape
    With .Shapes(.Shapes.Count)
        .ZOrder msoBringToFront
    End With
End With
End Sub
David