Thank you everyone who has answered, and in particular to Pedro and Charles.
Your solution worked! I also observed that the reason it was doing this was because my paragraph had Header 4 applied. I am guessing that: as this is a style intended for headers, the "Style for the following paragraph" would have been set to Normal by
default. I have reapplied a meaningful style to my text and eliminated the behaviour.
@Charles Kenyon:
I come from a Word Perfect for DOS background. After that I had been using Lotus Ami Pro for Windows 3.11. I was really comfortable with those word processors and as far as I remember, they never employed the concept of using paragraph styles.
I have also been using MS Word for 20 years but but for some reason, I could never master this application (Excel, Access, Powerpoint -never had any issues and they are meant to be more complex). With Word, I kept encountering frequent inexplicable behaviours
(like this one) which I could never figure out. So for this reason, I really appreciate the links you have provided. Thank you!