The styles Heading 1 to Heading 9 are baked in to Word and cannot be deleted, so whilst you may not be able to see them because of your settings, they are still there.

Display the Styles Pane - Alt+Ctrl+Shift+S then click on the Options button at the bottom. In the dialog ensure that the drop-down at the top is showing "All styles"

Screenshot 2024-09-30 081314.png

All 9 heading styles will now be shown in the Styles Pane