This is paragraph formatting. First, it is important that you use display of hidden formatting marks. Showing non-printing formatting marks in Microsoft Word

You can get to that control under the paragraph group by clicking on the dialog launcher in the bottom-right corner. Use the second tab and check "keep with next."
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If you use the built-in heading styles, this attribute is built in.
Why use Microsoft Word’s built-in heading styles? by Shauna Kelly