Your macro does lots of settings but there is no .Execute appearing anywhere so I'm not surprised that nothing changes.
You don't need multiple steps if you simply apply a Paragraph Style when you find the character in question.
Code:
Sub Macro2()
With Selection.Find
.ClearFormatting
.Replacement.ClearFormatting
.Replacement.Style = ActiveDocument.Styles("Heading 1")
.Text = "."
.Replacement.Text = "."
.Forward = True
.Wrap = wdFindContinue
.Format = True
.MatchCase = False
.MatchWholeWord = False
.MatchWildcards = False
.MatchSoundsLike = False
.MatchAllWordForms = False
.Execute Replace:=wdReplaceAll
End With
End Sub