Once you selected that type of list, notice that the selection most often reverts back to the regular list which is very confusing. Also, all the List Settings that you can access on the rightmousebutton will show a regular list... yet the multi-level appears as expected.
This being said, you should see a level in some settings, but I generally cannot access those... crazy!
Now, you can put those in the Heading 1, Header 2, etc. by first changing the style in your document, and then doing an Update Heading 1 to Match Selection, Update Heading 2 to Match Selection, etc.
The result is to get headings that are multi-level numbered lists.