Would that that were true! Unfortunately, Word is very literal about this.
If you have a four-line paragraph formatted as "Keep with next," and only
two or three lines will fit on the page, Word will split the paragraph after
the first two lines, leaving the last two lines with the following
paragraph. But if all four lines of the paragraph fit on the page (but none
of the following paragraph), Word will not split the paragraph early
(leaving two empty lines at the bottom of the page) but instead will move
the entire paragraph to the next page to be with the following paragraph,
leaving four or more empty lines at the bottom of the previous page. I find
this counterintuitive and annoying, but we've been told it's by design.