When copying from Excel to Word...

...be careful of any grouped cells you may have in Excel.  Word will interpret a cell in a first level group as "Level 1" text, without actually formatting it as such.  Which means the first time you realize this is probably when you update your Table of Contents, in which every grouped cell is now considered the same as a "Heading 1":

The easiest way to correct this is to remove the groups from Excel prior to copying; after pasting the easiest is to go to the Outline View and demote all Level 1 cells to Body Text.