I found various threads on the Web from people complaining about Command Not Found errors when using macros that change Word’s headers and footers.

The solution seems to be to repaginate every time you change a header/footer pair. (Of course, it could just be a timing issue, but repaginating does seem to work.)

Here is some example VBA code that sets the headers and footers for all sections to match those of the first:

Dim mySection As Section
Dim myHeaderFooter As HeaderFooter
For Each mySection In ActiveDocument.Range.Sections

    If mySection.index > 1 Then
        For Each myHeaderFooter In mySection.Headers
            If myHeaderFooter.Exists Then
                myHeaderFooter.LinkToPrevious = True
            End If
        Next myHeaderFooter
        For Each myHeaderFooter In mySection.Footers
            If myHeaderFooter.Exists Then
                myHeaderFooter.LinkToPrevious = True
            End If
        Next myHeaderFooter
    End If

    ActiveDocument.Repaginate ' prevent potential Command Not Available error
Next mySection

Without the Repaginate call on the penultimate line I was getting Command Not Found errors when setting LinkToPrevious to True; with the repagination, it worked okay.