Is there any error message?
If there is, please provide a screenshot of it.
Does this issue occur on specific or all documents?
Please make sure to follow the Link to a bookmark part in "Add or delete bookmarks in a Word document or Outlook message" to check this issue.
You could create a new Word document without syncing to OneDrive to see if all bookmarks can be saved.
More information, you may refer to "Troubleshoot bookmarks".
Any updates, please let me know.
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