Multiple table header rows or columns in tables are not included in Word exports
When exporting content from Confluence, Scroll Word Exporter converts the contents in the so-called meta model, which is a media-neutral representation of the content and can converted into different output formats. This is how we implement single-source publishing.
Tables in the meta model may only contain header cells at the top of the table, which is why Scroll Word Exporter removes table headings that are not at the top of the table, and why those headings are not exported.
Alternatively you can highlight specific rows or columns manually and preserve the table cell highlighting using a Scroll Table Layout Macro.