Make Automatically as you type in Word 2010 stick

In Word 2010 I turned on the Set left and first indent with tabs and backspaces feature on (File - Options, - Proofing - AutCorrect Options button - AutoFormat as you Type tab) so when I am doing multi-level numbering I can just use the tab key insert the next heading level. However, since I turned this option on, when I next open Word, and I choose a multi-level numbering scheme, it no longer adjust to the proper heading level when I press the tab key.

If I am still in the same word session, when I choose another multi level numbering scheme, after typing in text for level 1, and pressing Enter, it just goes to regular text and the Heading level in the styles box is no longer highlighted. If I close Word and open it again, I have to set it all over again.

How can I get this feature to stick?

Thanks,