I'm pretty much an ace with MS Word , but this is something that has stumped me: I'll have a "continuous" break in a Word document and on its own, Word will change it to a page break!

 

So how do I change it back?

I am routinely frustrated by aspects of the page break regime in Word. I can't help you to an answer, but at least you know there are fellow sufferers and sympathisers.

You need to make sure the section is set to 'continuous' before you can use continuous breaks. Put the cursor immediately after a break, then go to Page Layout > Layout > Section and choose 'continuous'. It should work from now on.

I have had this problem with section breaks misbehaving in Microsoft Word 2010 (e.g. layout differences apply to bottom of page even though "continuous" is chosen).

Adding an extra "continuous" break after the faulty formatting has corrected the erratic behavior each time. You will find it easier to keep track of section breaks by toggling the "Show/Hide" button...

It's on the "Home" tab.