Adobe does not support this.
Here is what we do...
1) Make sure the Acrobat plugin is installed in Word
2) Set the Word Acrobat preferences to export Word bookmarks - the default is wrong
3) Convert to PDF
4) Open the PDF in Acrobat
5) We use an Acrobat plugin by Evermap that creates "destinations" from bookmarks
Now...you can finally GoTo a "destination"