A family of Microsoft word processing software products for creating web, email, and print documents.
Unfortunately, Word does not have that ability and you will need to manually insert the Section Break and following it with a paragraph in the Heading 1 Style.
Or, you could use a macro containing the following code
Dim headingrange As Range
With ActiveDocument
.Sections.Add Selection.Range, wdSectionOddPage 'or wdSectionNewPage
Set headingrange = .Range
headingrange.Collapse wdCollapseEnd
headingrange.Style = "Heading 1"
End With
To try and have Word changed to include such ability, raise the issue with Microsoft via the Feedback facility on the Help tab of the ribbon.