Styles are VERY buggy
If you never change the styles from the defaults as shown in your example, this will work. However, try and customize them, then apply a style to text already in the document. Save the styles to the normal.dot. You'll find many random bugs that fubar your documents. Sometimes you have to press ctrl - Z to undo a style clobbering bug only to get what you originally expected. These Word style bugs are in Office 95, 97, 2000, XP, and 2003. Don't think I'll bother with the new version of Office if this still hasn't been fixed.
Styles are a great feature and make generating a TOC really easy as the author describes. This is why I like to use them, but the bugs still make me want to pull my hair out! AA, YMMV.