Here's the scoop, with an example.
If you've got text formatted as Heading 1, you select it, change the formatting to include Italics, then choose Heading 1 again, you're asked:
1) Update the style to reflect recent changes?
2) Reapply the formatting of the style to the selection?
and also the choice to
3) Automatically update style from now on.
What these mean:
1) This choice will change all text that has Heading 1 applied to become italicized.
2) This choice will take the italics back off.
3) If you turn this on, select text that has Heading 1 style applied, and italicize it, ALL Heading 1 style text will automatically be italicized.
You will not be given these options if you attempt to update the Normal style this way--Normal style must be changed via Format-Styles.
If you have not created a template file, you are using the style in the normal.dot (default) template. If, when you exit Word and are asked if you want to save changes to the global template and you say "NO", then you're not saving the changes to these styles and Word is behaving as it should be--it's not changing the styles in this document. When you open the document, it's going back to normal.dot and picking up the unchanged styles, hence, your styles aren't changing.
If you are using a template and are asked if you want to save changes to it, you should say yes.
Also, when you change the Heading 1, etc., styles, this DOES NOT change the Table of Contents automatically. You must right-click the table of contents and hit Update.
If you want to change the styles of the text in the TOC, you must choose one of the lines that have that style applied. TOC styles are independent of document styles.
Given that info, I hope you've got the answer to your question.
Good luck.