It's not so much that Word deletes removes as that the 'first page' header didn't have a page number to begin with. By design, every Section in a Word document has three headers and footers: primary, first page, and even page. Unless one changes the page setup to use the 'different first page', or 'different odd and even' layout, these just sit unused and usually unpopulated in the background and everything gets done using the primary header & footer.

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Cheers,
Paul Edstein
[Fmr MS MVP - Word]