I'm not sure what you're doing wrong, but here is how to do it right:
1. In Print Layout view, click on the table handle of the first table to
select the entire table. Go to the Row tab of Table Properties and clear the
check box for "Repeat as heading row." This will ensure that none of the
non-heading rows had this property set inadvertently.
2. Now select just the first row (or however many of the beginning rows you
want repeated) and do Table | Heading Rows Repeat. You can have as many
heading rows as you want, but they must be contiguous and include the first
row in the table.
3. Repeat this process for each of the other two tables.
4. You can have manual page breaks in a table without splitting it if,
instead of pressing Ctrl+Enter to insert the page break, you format the row
you want on a new page as "Page break before" (Line and Page Breaks tab of
Format | Paragraph). Often this can be avoided by using other formatting,
however; see
http://word.mvps.org/FAQs/TblsFldsFms/ControlPgBrksInTables.htm