I assume you use the publish function to output your Word file. The good thing about that is that unlike html or LaTeX outputs, you don't have to fiddle with an xsl file that has to be read by Matlab, and you can adapt the style directly in MS Word without having to call the publish function again.
Notice that in your Word document, the "%%" tag from your m-file was transformed into "Heading 1" and "Heading 2" header styles. The easiest way to change them is to create a new Style Set in Word and to apply it to your document.
