Directly formatting the font in the headings is doing it the hard way! Much better than applying a direct font change to all headers, is to modify the TOC styles to the font you want. All formatting of the entries in the table of contents will be determined by the TOC styles, except formatting applied directly in a heading which is the basis for the TOC entry. The direct formatting works, but it is very easy, especially when in a rush on a big project, to forget to change one heading. Word is designed to use style-based formatting to very good effect.

How to create a table of contents in Microsoft Word by Shauna Kelly