This once again illustrates the danger of all these “convenience tricks” supposed to make life easier for newbies, not willing to learn the basics for styles.
Built-in help says:
Apply Styles
Automatically apply a Heading 1 to Heading 8 paragraph style to a text that starts with an uppercase letter and does not end with a period.
To get a Heading 1 paragraph style, type the text that you want to use as a heading, then press Enter twice.
For other Heading N styles, press the Tab key N-1 times before typing the text to get the desired level. For example, to get a “Heading 4” paragraph style press the Tab key three times, type something, then press Enter twice.
This feature works only with “Default Paragraph Style”, “Body Text” or “Body Text, Indented” paragraph styles, and there must be one empty paragraph before the text, if the text is not at the top of a page.
IMHO, this duplicates clumsily the Ctl+1 to 4 which is a much safer way to get Heading 1 to 4.
Anyway, thanks for drawing my attention on this setting (which is disabled in my copy, just like other “conveniences” interfering with styles).