First, "style set" is a jargon term in Word these days.
[Quick] Style Sets
That is not how you are using it.
Set your Heading 1 style to be underlined and bold.
See
How to create numbered headings or outline numbering in Menu Versions of Word by Shauna Kelly for instructions on how to set your numbering attached to styles.
In the new define multilevel list dialog change the font to be underlined.