Pages 2019 not generating table of contents

Trying to generate a table of contents in Pages (the latest version updated this year) using Apple's instructions (see below) but keep getting the error message: "The table of contents is empty because you are not using the paragraph styles set to appear in it."

But I did go through each chapter heading and applied a Heading format. Is there an extra step, such as where it says in the instructions below "...then enable the Heading style for the TOC"? Enable it how? I have also tried to copy the whole document, start a new file and rename it, but still doesn't work, so I guess I'm missing a step.

The TOC is based on paragraph styles used in your document. For example, if you apply the Heading paragraph style to your chapter titles, then enable the Heading style for the TOC, those chapter titles appear in the TOC. As you edit your content, the TOC updates automatically.