As with Charles' sample document, your document has the page # formatted with a '\* roman' switch, which Word doesn't do if you use the header's page # format dialogue.

Delete the page # field, insert a new one using the 'Page Number' tool on the 'Header & Footer Tools' tab, then click on the dropdown there and use the 'Format page numbers' option to select the required format. Then exit the header and update your TOC.

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Cheers,
Paul Edstein
[Fmr MS MVP - Word]