I would obviously much prefer to be given the clear, precise and exact rules applied, but in the absence of that, I am willing to glean what I can from experimentation (!).

a) There needs to be some indication of subsidiarity between the headings.
For example, the following is probably one of many schemes that works:
level 1 all in capitals
level 2 capitalised words
level 3 capitalised words and in italics
(Have no numbering in the headings.)
The system recognises these differences, and applies the appropriate style to the heading when one hits AutoFormat Dialog (in the Quick Access Toolbar).

b) If a heading style is defined as being followed by a normal paragraph, it won't be applied unless there is some text for a normal paragraph in place following the heading.

c) Selecting one heading and clicking on Multilevel List and selecting a heading option produces hierarchical numbering of the headings throughout the document.

d) By contrast, having the headings already numbered in a hierarchical way does not appear to work.