You are having two troubles: 1. You want to refer to a text formatted in a style you created; and 2. You want to use multi-level numbering on Headings styles.
I checked on my PC, Word 2016 on Windows 10, for any solution to make user's styles to get some of the features that Word's default Headings enjoy, specifically referring to them. Unfortunately, you can't; quoting from this page
If you use custom styles, your only option is to bookmark every
heading individually and pray to the God of your choice that you edit
your heading text very carefully around the bookmarks.
Based on the information above, you must have used a custom style, and thus the text does not appear in the dialogue box
Insert Hyperlink >
Place in this document.
What you want is to use the default Headings styles and modify them to add multi-level numbering. This can be done in different ways, but an easy way is to use the command
Update Heading X to match selection, considering that you are going to modify 9 styles:
Type 9 paragraphs (write one word and key in
Styles panel (for Windows, hit
ALT + CTRL + SHIFT + S)
Apply the style
Heading 1 to the first paragraph by placing the cursor inside it and clicking the
Heading 1 from the Style panel,
Heading 2 to the second paragraph,
Heading 3 to the third paragraph, and so forth.
Select all of the paragraphs and apply your preferable multi-level list. They will be all in level 1 so;
Beginning with the second paragraph, put the cursor at its start (right after the numbering part) and key in
Tab from your keyboard. Repeat this so every paragraph is in the next level from the previous one.
Select the first paragraph, and from the
Style panel, right-click
Heading 1, then choose
Update Heading 1 to match selection. Repeat it with the second paragraph with
Heading 2 and so forth;
Be careful to right-click the corresponding style and not another heading style. Be careful not to left-click the style or you'll apply the old style without the numbering part!
Now you have a set of Heading styles with multi-level list. You can remove the 9 paragraphs you wrote during this course and start using the modified Headings to where they are applicable in your document.