You are probably not clicking on the multilevel list-numbering button on the Ribbon's Home tab. It seems all you're clicking on is the plain list numbering button.
Simple:
1. Click on the multilevel list-numbering button on the Ribbon's Home tab.
2. Choose a suitable multilevel list-numbering format from the 'List library' to apply the desired numbering scheme to the Heading Styles.
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Cheers,
Paul Edstein
[Fmr MS MVP - Word]
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