Thx, for the code but I don't want to post process it in the word.
I'm writing the file from Python using docx module because its many time faster. Just to create all the tables and fill them with data, it was taking around 20 min in VBA - lots of pictures inserting and resizing (with file hidden, screen updating off etc). Same thing can be done from Python in max 3 min with all the formatting in place. If I could format table instead of cells it would take 2 min 40 s.

As you can see, time wise it doesn't really matter. I'm just curious why formatting table style might not work. Is this issue with word 2007? or multiple column formatting is a known issue? - I don't think so, since built in styles are heavily formatted.