Not automatically, but it is very easy to do this. I have posted tips on how to do so here.
It sounds like they might have briefly gone over the Formatting pane in the compiler without looking into it further. There are no such restriction in Scrivener, it is extremely flexible. However some of the starter templates assume that one will be using folders to generate major section titles, such as parts and chapters or sections (depending on the template), while files will be used to hold the content of those sections. It’s a useful way of working, but it isn’t necessary. The necessary thing, when thinking about stylesheets, is to make sure that each independent semantic component of the document has easy to identify formatting for the sake of Word’s select similar formatting tool.
Just know that if it is easier for you, you can also use files (pages, as you put) to generate text and titles, in that Formatting compile pane. More advanced usage can even have different styles at different levels, which is what you will need to learn if you intend to have multiple heading styles. This pane is thoroughly documented in §22.8 (starting pg. 205) of the user manual PDF.