Your problem may be within word or within adobe, or it may be a mixture of
both.
The adobe acrobat pro 8, help files, indicate that:
Bookmarks are generated automatically during PDF creation from the
table-of-contents [TOC] entries of documents created by most desktop
publishing programs.
Does your document use a TOC?
Within the adobe help files I cannot find a reference that indicates that
adobe will automatically create bookmarks based upon Word's heading styles. I
believe that adobe will automatically create bookmarks if you use field codes
within Word to mark your TOC entries.
I just converted a sample document, sans field codes, but with heading
styles. Adobe did not automatically generate a bookmark list during the
conversion.
However, there is an option button at the top of the adobe bookmark pane,
that allows the user to create bookmarks from the document's structure. It
took me about 4 clicks to generate about 50 bookmarks for a twenty page
document.
The document's structure was identified by my heading style listings.
I also had an TOC embedded within the word document, that was marked with
Normal style. ADobe happily chewed up this list and spit out bookmarks.
Alternately, do your heading styles set outline levels? If the outline
levels of your heading styles are set to body level, then adobe may not
recognize that the heading styles should become bookmarks.
Within Adobe, you may need to edit the convert to pdf preferences.
The option to automatically create bookmarks may be toggle off.