Hi Ramon,
Did you check the Acrobat PDFMaker setup in Word ( click Acrobat in ribbon then the Preferences button, Bookmark tab) to see if "Convert Word Style to Bookamrks" is checked and that the Index elements have the Bookmark checkboxes checked?
Hope this helps,
Dimitri
WindJack Solutions
www.windjack.com
www.pdfscripting.com