I had a very similar problem, although it was with Writer, not Word. I found that if I made a new style based on Header 1, header 2, etc., it was ignored during conversion. I had to actually modify the existing Header 1 or 2 style, rather than make a new one. I think the conversion looks for "Header 1" only and specifically, so if I had a "Header 1a", it was ignored as a header.
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