The Selection doesn't move if there is nothing else found so your Selection could only match the document end if the last paragraph was a Heading 5 - and then your 'next paragraph' wouldn't exist. Also, the find command has 'sticky' settings which could be affecting the search direction or other parameters. You do need to be explicit to ameliorate the impact of previous searches. eg
Code:
Sub Create_Collapsed_Heading6()
Dim aRng As Range, aRngNext As Range
Set aRng = ActiveDocument.Range
With aRng.Find
.ClearFormatting
.Replacement.ClearFormatting
.Forward = True
.Wrap = wdFindStop
.Text = ""
.Style = ActiveDocument.Styles(wdStyleHeading5)
Do While .Execute = True
Set aRngNext = aRng.Paragraphs(1).Next.Range
aRngNext.Style = wdStyleHeading6
aRngNext.Paragraphs(1).CollapsedState = True
aRng.Collapse Direction:=wdCollapseEnd
Loop
End With
ActiveDocument.PrintOut
End Sub