With WORD (2016) and PDFMaker:

When creating PDF maker and asking it to convert the Document's Headings / Styles to Bookmarks; It does not include some characters in the bookmarks.

Characters such as Non-Breaking Hyphen. There may be others also.

[ Special characters are inserted into work using INSERT > SYMBOL > MORE SYMBOLS > SPECIAL CHARACTERS ]

Also the Case of text characters is taken from STYLE information, rather than from TYPED characters (I.e. from the FORMATTING, rather than the DATA). If for example the style specified all text in UPPERCASE. Then the bookmarks will be also in UPPERCASE.. Even though in Word Table Of Contents and Document Map it is not in all Upppercase and use the typed characters (not STYLE's UPPERCASE transformation).