I think that the following could be what causes the problems:

A. If you pressed Ctrl+Return instead of Return at the end of the "previous
page last line", you did not create a new paragraph - the "heading" and your
"last line" still make up one paragraph and will thus always have the same
paragraph style.

B. If you positioned the insertion marker in the start of the heading and
pressed Ctrl+Return to insert a page break, the page break will also be
applied the heading style.

If A and/or B above is correct, you should instead do as follows:

A. Always press Return (not Ctrl+Return) to start a new paragraph.

B. Do not create page breaks using Ctrl+Return. Instead, click in the
paragraph that is to start on a new page. Then select Format > Paragraph >
Line and Page Breaks tab and turn on "Page break before" (then the page break
will be an attribute of the paragraph and it will work correctly). However,
according to you second post, you may already use this method.

I recommend that you turn on nonprinting characters (formatting marks) so
that you can see exactly what you have in your document (press Ctrl+Shift+8
or click the ¶ icon on the Standard toolbar). A paragraph mark looks like
this: ¶. A manual line break looks like a bent arrow.

For further details about formatting marks, see this article:
http://word.mvps.org/FAQs/Formatting/NonPrintChars.htm

About columns: If you want the text to start on a new page, use the "Page
break before"-method described above. If you want the text to start in the
next column, use Insert > Break > Column break.