In your document, you have one custom style named "Heading."
You have attempted to attach different aliases or shortcuts to that style.

When, in a style name, you use a comma, you are giving the style an additional name that can be used. So:

• Heading,1
• Heading,3
• Heading,2
• Heading,4

are all the same "Heading" style. These are not different styles and they do not have the special attributes that go with the built-in Heading styles.

If you need to create your own custom heading styles, do not use commas in the name. The following names would be separate, different, styles.

• My Heading 1, mh1
• My Heading 2, mh2
• My Heading 3, mh3
• My Heading 4, mh4

They can be called by either of the two names assigned to each style. That is, "My Heading 3" can also be called using the name "mh3."

However, first, look at Why use Microsoft Word’s built-in heading styles? by Shauna Kelly