Styles lose their keyboard shortcuts

If you have modified a style in a given document, and you selected the radio button for "Only in this document" rather than "All documents based on the [whatever] template," then the styles will be limited to that document. If the document was based on the Normal template, and you selected the latter radio button, then they should be saved there provided Normal is being saved properly. This of course affects only new documents--not documents created before you modified the styles, though the keyboard shortcuts should be effective for all documents that contain the styles.

You can check the shortcut key assignments and resave them if necessary:

1. Right-click the Ribbon and choose Customize the Ribbon.
2. In the Customize the Ribbon and keyboard shortcuts dialog, beside "Keyboard shortcuts" in the bottom left corner, click Customize...
3. In the Customize Keyboard dialog, in the Categories list, select Styles.
4. In the list of styles, select one of the ones for which you have assigned a shortcut. Note that the list will display only those used in the current document, so you may need to add some paragraphs in the relevant styles before doing this.
5. "Current keys" should show the shortcut you assigned.
6. If it doesn't, assign it again and make sure that "Save changes in" is set to "Normal.dotm."
7. Click Close to close the Customize Keyboard dialog.
8. You'll be back in the Word Options dialog; select the Advanced tab.
9. Under Save, make sure the box for "Prompt before saving the Normal template" is checked, then click OK to close.
10. Now quit Word. If you are not prompted to save the Normal template, then that's the problem: something is causing the template not to be saved.

At this point you have two recourses, one long-term and one immediate:

1. Ultimately, you'll need to find out why Normal.dotm is not being saved. Almost always this is the result of a poorly written add-in. One add-in that is notorious for preventing the Normal template from being saved is the PDF Complete add-in. You'll need to check the Add-ins tab in Word Options to identify likely culprits and temporarily disable them. Long-term you may decide to uninstall them.
2. Meanwhile, just to make the changes you want and save them, you can open the Normal template directly, make the desired changes, and save the template. If you know how to navigate to the Templates folder and open Normal.dotm, you can do that, but here's a quick way to open it without browsing: