Microsoft Word can do it, but you must _save_ the document as a PDF. I know this because I've done it dozens of times, as recently as a year ago.

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.