"lied"
suggest "Lied"
(nouns begin with upper case in German)
"Song"
suggest "song"
(nouns begin with lower case in English).

The point is that in English nouns are in lower case. In my Oxford English Dictionary you can see:
Liebfraumilch - capitalized - proper name
lied- lower case
In German the English word "song" is capitalized because it's a noun.
I guess in conclusion, we borrow foreign words but adapt them to our grammar.

Fair enough, thanks.

@Dejo

I now realise that I missed the point of the sentence in my initial comment. It is now clear. Sorry about that and have a nice day /night.

No problem patgfisher. Now it's been explained for everyone else who might have the same question:)

I, too, feel it somewhat wrong to say "the German word 'lied'" and "the English word 'Song', especially when this sentence is translated into different languages.

What do you say to an approach like this?
The English word "lied", which means a German art song, comes from the German word "Lied", ...

@tommy_san and CK If you want to get really technical there are a number of problems.
English and German have different attitudes to word origin. English quickly appropriates foreign words wheres German distinguishes between loan words and foreign words (Lehnwörter -Fremdwörter)
In my humble opinion the ¿English? word "lied" is still a foreign word, because the Oxford dictionary says that the plural is "lieder" with a German plural ending.
In German the word "Song" remains a foreign word and may very well disappear again like the word "sweater" popular in the 1920's.
Would we have this discussion if I said "The Spanish words "taco" and "burrito" are also used in English"?