The information from previous versions is still useful because Microsoft haven't changed this. The key information is right at the top of your screen grab
"Your chapter headings must use one of these built-in styles"

Make sure your Appendix title is an automatically numbered style and is one of the Heading x series. I normally assign the Appendix title as Heading 7 to leave a couple of heading levels available for Appendix sub-headings.

This ONLY works if your Appendix style is ACTUALLY one of the built-in Headings.

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Andrew Lockton
Chrysalis Design, Melbourne Australia