If you login Windows with some user who does not have the View Versions List Permission, you will get access denied error message when you try to compare document versions in Word, since Word default runs in the security context of current Windows session. In web browser, you may sign in with another user who has the View Versions permission, so, you can see the version history list.
Also, in document library settings->versioning settings, please check the draft item security, maybe the user does not have permission to view draft items.