By default, heading styles are "linked" styles having both paragraph style characteristics and character style characteristics. To have the "magic" heading style properties, it must be used as a paragraph style.
Why use Microsoft Word’s built-in heading styles? by Shauna Kelly
That does not happen when you apply the style to selected text that is less than the entire paragraph. If it will show up on the list for hyperlinks, it will also show up in the Navigation Pane. It is easier to see what is happening there.
The nonsense text has the Heading 3 style applied to the text but not the paragraph. Word 2016 has the Heading 3 style applied to the entire paragraph.
I always keep the option to disable linked styles checked. This is on the Styles and Formatting Pane at the bottom.