You are not doing anything wrong. There are many features in the desktop versions of Microsoft 365 that are not available in the web-based versions. Much of this is due to the limitations of running it in a browser without local resources (storage for example, adding fonts, customizing styles, etc. Where would Microsoft save these settings?) This applies to all Microsoft 365 apps, not just Word.
For example, some of the major features you’ll find missing in the online and mobile apps include:
Word: You cannot create captions, citations, bibliographies, tables of content. You cannot create or apply styles. And you won’t have access to some of the more advanced reviewing, proofing, or page layout tools.
Excel: You cannot create pivot tables, apply conditional formatting, create external data connections or references, or access many of the advanced formulas.
OneNote: You cannot edit embedded files, use optical character recognition (OCR) to translate handwriting into text, use Outlook task integration, or take advantage of template support.
PowerPoint: You cannot create custom animations, use headers and footers, or integrate Excel charts. You also cannot take advantage of advanced design or reviewer tools.
Here is a more complete listing of feature comparisons:
Some features cannot be applied in the web-based version, but may be viewable if initially created using the desktop version.
It can be frustrating when a feature you need is not available, This is why I prefer the desktop version. I look at the online versions as a great way to work with docs if I'm away from my main computer. But for many users that don't use some of these features, the online version is enough.
Hope this helps,