I've just encountered this problem and solved it. I am using Word 2013.
The situation was: I had a numbered list with defined styles for heading 1 and heading 2 in order to be able to autogenerate Table of Contents. I had following headings in a multileveled list: 1., 2., 3., 3.1., 3.2., 3.3., 3.4., 4., 4.1., 4.2., 4.3. and I wanted to add heading of level 2 between 3.1 and 3.2. My first try was (as propably everyone would do) to type text and select a list option and hope that it will somehow automatically merge with existing list. It didn't happen, only new list has started.
- Type text wherever you wish to insert a heading of whichever level
- Select style for typed text for according level (f.ex. "Heading 2")
- Select multilevel list type (third list-type button in "paragraph" frame) and from scrolldown menu choose the one list in "Lists in current documents" (see pic.). This will sync styles of numbering of new list and existing one.
- Right-click on the number beside heading (still incorrect) and choose "Continue Numbering". This will add this heading to existing list.