See:
https://support.office.com/en-us/art...0-FB9CE15BF3D6. You'll note that the ambiguous 'merge formatting' description is no more; it's now more appropriately called 'Match Destination Formatting'. Check your paste options in Word, too (File|Options|Advanced>Cut, copy, paste>Pasting between documents); it seems you have them set to paste the text only - which obliterates any Style information.