Gerry,

That is true and to illustrate (plus attempt to clarify the header/footer isolation), I've modified the demo:

[VBA]Sub SetUpExampleII()
'This code demonstrates peculiarities in the Word "StoryRanges" collection and how to deal with them.
Dim oDoc As Word.Document
Dim oRngStory As Word.Range
Dim i As Long
Dim lngJunk As Long
Set oDoc = Documents.Add
Stop
'Step through code and switch between code and document to follow the process.
Debug.Print oDoc.StoryRanges.Count
'Notice that a new document based on a clean normal template contains only 1 storyrange.
'Depending on the version of Word there are a total of 11 to 17 storyRanges

'Ensure formatting marks are showing.
'Notice the headers and footers will be empty (i.e., no visible paragraph mark.)
'This is because the header and footer ranges are not defined at this point.

'Add a new section.
oDoc.Sections.Add
Debug.Print oDoc.StoryRanges.Count
'Notice that adding a section does no effect the storyrange collection.

'Isolate section 2 header and footers from section 1.
For i = 1 To 3
oDoc.Sections(2).Headers(i).LinkToPrevious = False
oDoc.Sections(2).Headers(i).LinkToPrevious = False
Next i
'Reference a header (do something with it, anything).
oDoc.Sections(2).Headers(wdHeaderFooterPrimary).Range.Text = "Section 2 Header text"
Debug.Print oDoc.StoryRanges.Count
'Notice that simply referencing a header or footer (in any section) defines and expands the storyrange collection
'to include the six header and footer storyranges.
For Each oRngStory In oDoc.StoryRanges
Debug.Print oRngStory.StoryType
Next oRngStory

'Every range has at least one paragraph defined.
'Accordingly, the formally (empty) section 1 primary header and footer will now contain a paragraph mark.

'Add some text to the section 1 first page header. Note - Even if the page setup does not include a first page or even
'page header/footer, they still exist.
oDoc.Sections(1).Headers(wdHeaderFooterFirstPage).Range.Text = "You can't see me"
Debug.Print oDoc.Sections(1).Headers(wdHeaderFooterFirstPage).Range.Text
'Create a first page layout
oDoc.PageSetup.DifferentFirstPageHeaderFooter = True
oDoc.Sections(1).Headers(wdHeaderFooterFirstPage).Range.Text = "You can see me now."

'The following code similates a user clicking in the section one header (defined with a single paragraph and no text).
oDoc.ActiveWindow.View.SeekView = wdSeekCurrentPageHeader
oDoc.ActiveWindow.View.SeekView = wdSeekMainDocument

Debug.Print oDoc.StoryRanges.Count
'Notice how this action, which could easily be done by the user in with the UI, removes (and kills) the
'section 1 header and footer ranges. The paragraph marks are gone!

'More troublesome is that the six header and footer storyranges from the storyrange collection
'have also been killed as the following illustrates!!

For Each oRngStory In oDoc.StoryRanges
Debug.Print oRngStory.StoryType
Next oRngStory

'We know that there is a header range defined in section 2 because we can still see the text. This means that a header range does
'not necessarily mean a header storyrange.

'The following illustrates that in order to process all ranges, you must first ensure that all the storyranges are defined.
For Each oRngStory In oDoc.StoryRanges '(wdPrimaryHeaderStory)
Do Until oRngStory Is Nothing
Debug.Print oRngStory.Text
Set oRngStory = oRngStory.NextStoryRange
Loop
Next oRngStory

'So why was the content in the section 2 primary header not returned?
On Error GoTo Err_Handler
Set oRngStory = oDoc.StoryRanges(wdPrimaryHeaderStory)
Err_ReEntry:
For Each oRngStory In oDoc.StoryRanges '(wdPrimaryHeaderStory)
Do Until oRngStory Is Nothing
Debug.Print oRngStory.Text
Set oRngStory = oRngStory.NextStoryRange
Loop
Next oRngStory
'Since we've reference the section 1 headers and created the range, we are left with empty paragraph marks. Remove them as demostrated above.
oDoc.ActiveWindow.View.SeekView = wdSeekCurrentPageHeader
oDoc.ActiveWindow.View.SeekView = wdSeekMainDocument
oDoc.Close wdDoNotSaveChanges
Exit Sub
Err_Handler:
'There is no wdPrimaryHeaderStory so the error occurred.
'It is content in Section 1 that defines the 6 header/footer storyranges.
'To ensure they are defined (all of them) all you need to do is reference one of them:
lngJunk = oDoc.Sections(1).Headers(1).Range.StoryType
Resume Err_ReEntry
'What I've learned is that lngJunk and the reference to the section 1 header does "NOT" ensure that skipped headers are processed.
'It is actually section 1 that defines the storyrange collection.
End Sub
[/VBA]