The paragraph itself is the 'next' thing, and should not be blocked. That means that in order to keep a heading/paragraph together, you would block the heading and the hard return/blank line after the heading, and apply KWN to them.

Instead, Word takes all the information you've blocked and then keeps the blocked lines with the 'next' thing in the document. You're probably thinking that what you should be doing is blocking all the information that should stay together. You may have noticed in the screenshot that only the heading and the blank line immediately below it were blocked for use with KWN.

Select OK, and Word will apply KWN to the lines you blocked. That's why you access KWN via the Paragraph menu, and why you can only apply KWN to whole paragraphs, but those paragraphs can be one word long (headings), one line long (single-sentence paragraphs signature lines, closings, etc.), your typical paragraphs (multiple sentences), or even blank lines (paragraphs containing no words). Everything that has a paragraph formatting mark (hard return) at the end of it is considered a paragraph by Word.

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