I also encountered the same problem with Word 2016.
In bilingual documents (Persian/English), automatic numbering always uses English numbers and ignores the context settings in advanced options.
I have to add to this the fact that I have been using Word since Office 2000 and this is the first version that has this issue. I even opened an older document made in word 2013 and it still converts numbers to English format.
I have the following configuration
- Office 365 installed on Windows 10x64
- Installed all Windows ans Office updates to date
- Installed the Persian language pack
- Changed advanced options to "Context"for numerals
- Changed the system settings to use "context" numerals

Workaround suggested by M.Ebrahimi (March 29, 2016) works by the way to add a Persian space before the number but this is ridiculous to use such an advanced editor with such cheap tricks only to get it to work right!!!
It doesn't look like a serious software issue and most likely a software bug that it doesn't detect the context correctly.
Please take a deeper look into this issue as this is making the use of Word for bilingual document authoring very difficult and inefficient.
Thanks in advance,
Farzad