I want to create a heading style where the first letter of each word is in upper case. e.g. A Quick Brown Fox Jumped Over The Lazy Mutt. - in other words the style is to capitalize each word. I am trying to learn how to be a proof-reader/copy editor, and at times one must set up styles in line with a publisher's requirements, before proof-reading/copy editing a document. I am a fairly experienced Word user, and do know how to apply and modify the various styles in the styles pane. However, on trying to modify a default heading style to 'Capitalize Each Word', there seems to be no option there to do what I want. Please help.

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.

This cannot be applied as a Style. It is not a formatting option but rather a command.

Understanding Styles in Microsoft Word
Tips for Understanding Styles in Word by Shauna Kelly

You likely could create a macro that would search through a document looking for a particular style and applying a true title case to that Style. Graham Mayor has a macro for True Title Case in English that may help as a start.

BTW, Capitalize each word (as Word's toggle does) does not create titles your publisher will like.

Thank you all for your responses. So: some formatting options are there in the Modify Styles dialog; some are there on the ribbon...each in their own silo. And never the twain shall meet. OK.
As far as using VB or macro - it is a useful thought. Presumably, in a proofreading situation, all remote parties would have to have such a macro running on their machines, and that may or may not be practical.
Once again, I am grateful for the several responses I received, each one of high quality!

Sounds really interesting. I will work up my courage in due course and delve into this option...

Something like that. The Case switches on the toolbar (and for that matter using Shift+F3) are not formatting, as such. They change the actual letters rather than an attribute applied to such letters.

If you have an All Caps setting in a Style and apply it to a mixed case sentence, it does not change the actual underlying characters. If you change to a different style without that setting, the case will revert to what it was as typed. This shows up in Tables of Contents based on heading styles with an all caps setting. When the heading was originally typed, the typist may not have paid any attention to capitalization, because of the style setting. However, what was originally typed shows up in the TOC.

It is not that some are on the ribbon and some are in the Modify Styles dialog.

It is similar with the highlighting which is available on the ribbon but does not show up as a type of formatting that can be applied using vba or a Style.

Essentially if it is in the paragraph formatting, font formatting, or tabs setting dialogs, it can be a part of a style.