epub?
PDF definitely supports internal "links" like a Table of Contents where clicking on a chapter name in TOC takes you directly to that chapter.
What am I missing?
Notably, you _can't_ use PDF printers to accomplish this. PDF printers reduce the document to only visual data, losing interactive features.
I know Word isn't part of your solution but maybe this distinction between saving the document as a PDF vs. running the document through a printer driver will be useful to bear in mind in your case.
But I also suspect that you might have succeeded in the past unknowingly. This is because many, _many_ PDF viewers do not support internal jump links. This is apparently too "advanced" a feature for most in-browser viewers, for example, including the built-ins.
If you aren't already doing it, always test whether features are working in Adobe Reader before checking with viewers which may have reduced featuresets.
Processing everything through Word after export could maybe be an option. In my experience exporting from the browser have been the only option to get nice PDFs. Everything else I've tried have mangled the layout something terribly, and Open Source converters are all of low quality.
It could be that it is the PDF clients that refuses all jump links, but then the problem is unsolvable, since these PDFs have to work on normal consumer devices such as Android and iOS phones. Apart from the jump links, PDFs are a god-send, since they work well everywhere.