Your style is based on Heading 1 which is set as bold?
The
Bold attribute is a
toggle.
When you turn it on in Heading 3, it actually toggles it to off.
For related information, see
How styles in Microsoft Word cascade by Shauna Kelly.
Here are some screenshots and a sample document that was used to generate the screenshots. The document has 9 levels of cascading heading styles.
Heading 2 is based on Heading 1. Here is the description from the Style Pane tooltip.
00 deleteme 1.png
Here are the actual settings from the Modify Style dialog. Note nothing is said about Bold but the heading is Bold because Heading 1 is Bold.
00 deleteme 2.png
Here is the tooltip about Heading 3.
00 deleteme 3.png
If in the sample document you modify Heading 1 or 2 to not be bold, look at what happens to the lower levels. They will all toggle the bold attribute. In the original document, only heading 3 is not bold. If you switch heading 1 to not be bold, then heading 3 becomes bold and all the others will become not bold. If you switch heading 2 instead, heading 1 remains bold, heading 3 becomes bold, and all the others become not bold.