• I do not know how the person who prepared the original document inserted the hyperlinks; all I can see is, that the tool-tip for each of his cross-references starts file:///
• the target headings appear to have been numbered by hand – the style definition has None for numbering, and the Outline level is set to Body text. Neither of the Numbering icons in the toolbar is active, and I can use Backspace to delete the number
• according to the Apply styles panel, the Hyperlink style is applied to all the original hyperlinks: they show as blue, underlined

To set up my cross-reference, I started by defining a bookmark. Then I added a cross-reference: reference type, bookmark; insert reference to Bookmark text; insert as hyperlink
According to the Apply styles panel, the Hyperlink style is applied to the new cross-reference: but it shows as black, no underline. The tool-tip is the bookmark name.

Applying the same style to all links and seeing the same formatting would be a good start!