Generate PDF with table of contents from Microsoft Word on Mac OS X
Word:Mac uses OS X's built-in PDF creator.  Word for Windows either uses Adobe's PDF creator or its own (depending on which version of Word for Windows you're using), which is why the functionality is different between the two applications.  OS X's built-in PDF creator doesn't do what you want.

If you have a license for Adobe Acrobat (not Acrobat Reader, but the full Acrobat), you can use Adobe's PDF creator.  

Another option which others have reported having success with (and which doesn't require an expensive Acrobat license) is this:


Save your Word document to your computer.
Upload your Word document to Google Drive. Do NOT convert it to another format when you upload.
Get the OpenAsPDF app. Its a Google Drive App. 
Open your Word document with OpenAsPDF app.
Use the Save As dialogue to save back to your computer.
Before saving, change the extension to .pdf.