It should be listing any paragraph styles you have available in the Styles pane (where you would also design how the headings themselves should look).
I would also reiterate from above that in most cases you will be better served by starting from the “Ebook” compile Format, and modifying it to taste. Unless you have experience in HTML/CSS and intend to largely design the book yourself from that angle, or are looking to build a lot of detailing up from scratch, using “Default” or even legacy upgraded settings will require diving straight into the deep end, particularly if all of this is new to you.