IIRC the maximum Style nesting is 10. You will get that message if you try to nest styles in 11 levels or more (i.e. Style 11 is based on Style 10 which is based on Style 9 which is based on Style 8 which is based on Style 7 which is based on Style 6 which is based on Style 5 which is based on Style 4 which is based on Style 3 which is based on Style 2 which is based on Style 1).

It's also possible you'd get such a message if the document has some form of corruption that Word interprets as an excessive number of nested Styles.

__________________
Cheers,
Paul Edstein
[Fmr MS MVP - Word]