Cannot Link to Word Bookmarks from SharePoint Online

I'm looking to create a help page that links to various sections of a document using Word bookmarks, but every attempt I've made doesn't seem to work properly.

When creating a link to my document on SharePoint, I've tried using the Bookmark field on the Link ribbon, but dispite multiple attempts the file continues to open (in Word 2010) at the very top of the document. 

Example attempts are:

• "bookmark"
• "#bookmark"
• "#_bookmark"

I feel like this task shouldn't be this difficult. Is this a bug, or could I be doing something wrong?