To answer your question, though, the Style for your heading is set to have the next paragraph in the normal style. You can change it to have it be in the same heading style. Are you aware of the keyboard shortcuts for the first three heading styles? Ctrl+Alt+1, Ctrl+Alt+2, and Ctrl+Alt+3
If you want it, you can add shortcuts for 4-9 as well. It is in my downloads page at Add-Ins.

I tend to have heading 1 style followed by heading 2 style followed by heading 3 style followed by body text (or normal). Read Shauna's article through, though.

Numbering in Microsoft Word