I have not seen anything to contradict this aspect of Word, except that if your document has more than one section, it is the section break which contain the formatting for the section above it. As it has generally been stated, the final pilcrow (paragraph mark) in a document contains an invisible section break.

As for the pilcrow or section break having to be Normal, that's a new one on me, and I don't know why it should be true, though it's possible. But I have never come across this.

Best,
Ulo