I have found that using the pdf converter doesn't work very well on complex documents. If you are on an IIS server you may want to look into COM with word. We are using that and it works perfectly. On Linux, I think there is a COM option for using open office to do the pdf conversion, but you may have to look around a little for that one.
The short answer, though, is don't use the pdf converter in the PHPDocx library as it won't keep styles.