Hi Josh,
The Headings and Bookmarks items in that box apply only to places in the current document, as indicated by the line under "This Document" above the box. To link to an external document, you need first to click on the "Enter Link" to the left of "This document", which gets you to this dialog:

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Now you need to know what URL to put in the second box. If this reference was going to be only for your use, it could be the URL that appears in your browser's address bar when you open the external document in Word Online (presumably in your OneDrive account or on some other cloud server). Since it's going to be for other users, it will have to be the address of the document in some place that's accessible to the other users -- perhaps in a OneDrive or SharePoint folder, with the file marked as shared for Everyone.
You can put a short title in the Display Text box if you don't want the link in the document to show the full URL. Otherwise, it can be left blank.