Your code doesn't work the way it should because it doesn't correspond to the way that Word works.
Looking at each line, this is where you are having problems

Line 1 produces a field code that looks like this
TOC \o "1-9" \h \z \t "Heading 1,Heading 2"
So your Heading 1 and Heading 2 entries appear in the TOC because of the \o "1-9" part. Using the \t switch is superfluous in this case because those two styles are already in there. Also "Heading 1,1,Heading 2,2" is what is supposed to be in the quotes - you have to tell Word what TOC style to assign to each style.

Line 2 doesn't align with how tab leaders work.
.TablesOfContents(1).TabLeader = wdTabLeaderDots
A tab leader is a property of a particular tab in a particular paragraph or style. In the context of an entire table of contents which could contain 9 styles and many paragraphs this line means nothing. Plus the first table of contents in a document may not actually BE the TOC that you just inserted in the first line (if there is another TOC earlier in the doc).

Line 3
.TablesOfContents.Format = wdIndexIndent
I have no idea of what you expected to happen with this line. wdIndexIndent is a built-in constant with a value of 0. What does it mean to set a "Format = 0" when Format might be typeface/font size/bold/italic/paragraph spacing/paragraph indent etc. And where are you trying to apply this 'formatting'?

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Andrew Lockton
Chrysalis Design, Melbourne Australia