Every time that I see/hear the phrase "Microsoft Word is ignoring all of this" (or similar comment) the first thing that come to my mind is that you are doing something wrong. With your narrative description it also appears you have other problems (ref your bullets comment) other than page numbering. With that in mind, the below listed links may help you:

http://www.addbalance.com/usersguide/sections2007.htm
Working with Styles
Understanding Styles in Microsoft Word

Other posters may offer additional assistance. Hope this helps...