In the APA style, the level three headings should be inline, that is, the next sentence begins just after the heading, not on a new line. That’s not easy to do in Word if you want to keep the paragraph formatted as a Heading 3. I could just make the font bold, but if this journal rejects my paper, I want to submit it to another journal that uses a different style of heading. Then it is much smarter to have it formatted.

Adam Bonner shows how to do it in this video. It is the weirdest Word trick I’ve seen to date.