The W register only accepts an 8 bit value, so you can't load it with anything higher than 0xFF. But as the data EEPROM is only 256 bytes long, this isn't a problem - where were you trying to store the data?.
I had the same problem, not being able to read my internal EEPROM value's using the IDC for the 877., but if i pulled the value from the EEPROM and used it somewhere else the value's were correct. A bug in the Debugger i guess lol.