If it is showing as Arial Bold (Headings) that tells me that the bold version of the font is being applied and then perhaps Bold formatting is being applied. Bold is a toggle in Word.

Many heading styles, by default, are set to bold formatting. If you selected the bold version of a font as the default theme font, it is going to be toggled off if bold is set for the heading.

Both bold and Italics are toggles and generally have their own font variations rather than being something applied by Word.

Try switching to Arial (plain) as your heading theme font.