See Changing the Default Font in Microsoft Word. (The links provided by JimP are very good things for you to read if you want Word to work with you instead of seeming to work against you. Reading them should more than save you the time it takes to read them if you regularly use Word for more than single-page documents.)

Suzanne Barnhill put it succinctly in another forum:
"The font for many styles in Word (unless you change it to a specific font) is defined as being either the Body font or the Heading font. This is determined by the theme. If, instead of assigning a specific font to a style, you choose Body or Heading, then if you apply a different theme that uses different Body and Heading fonts, your styles will change automatically. You still define the font size and other properties (Bold, Italic) in the paragraph style, but the font itself can be variable. If you want only specific fonts for the styles (and this would especially be true in a template that used more than two fonts), then you can define them in the template styles; they would then not change if you applied a different
theme (though some other elements, such as colors, might).

"You can see how this works (with Live Preview) by selecting a document that has both headings and body text in it and then hovering over the various theme font sets" ...