Unfortunately, and please someone correct me if I'm wrong or there is a way to do this via VBA etc, but the "Capitalize Each Word" formatting is only available from the Ribbon and cannot be applied to a style as it is not available in the Modify Style dialog box options.
Even if you highlight a heading, apply the "Capitalize Each Word" feature via the Change Case button on the Ribbon and then try to update the heading to match the selection, the Style does not take on this attribute.