Hello Thomasm,
As per the description above, when you are combining word documents into a single PDF, all the bookmarks are not combining, Is that correct?
Check the settings from the Acrobat ribbon in Word, click on Acrobat>Preferences>Under Application settings>Select Create Bookmarks>Click Ok.
From the ACROBAT preferences in Word>Select Bookmarks Tab> Under Bookmarks options, select all the three checkboxes.

Try combining the word files again.
If the issue persists, please check for any pending updates of Acrobat from help>check for updates. Reboot the machine after the installation of updates.
Repair the installation files of Acrobat from help>repair installation(only for Windows), reboot the machine and see if this brings any difference.
If the issue still persists, please share the following details:
Let us know how it goes and share your findings.
Regards,
Anand Sri.
[Edited Response]