I've marked this as solved with the two previous answers.
No header/footer in the first section of a document will ever have an active "link to previous" button.
I know that the Mac version is not identical to the Windows version but believe the following resources should still be helpful:
Generating a Table of Contents - Complex Documents
How to create a table of contents in Microsoft Word by Shauna Kelly
Header/Footer Settings Recap
What is the difference between headings and headers?