If your indent was done with a Tab, then you'd be deleting the indent. But
since your indent is done in the Normal tyle, what you're doing is deleting the paragraph mark at the end of the Heading style and adding the text of the
first paragraph to the heading.
Presumably your Heading doesn't have any special formatting, such as Bold or
Italic, or you'd see that go away.
And you must be typing your section numbering rather than using "Multilevel
List," or the section number would go away, too.
Moral: Don't press Backspace when you're at the left edge of the first line
of a paragraph.