A family of Microsoft word processing software products for creating web, email, and print documents.
The problem is that the "Style for following paragraph" is set to a style that does not include bullet formatting. In this case, the un-bulleted style happens to be the built-in List Bullet style which has been modified not to include bullet formatting. That style is applied when you press Enter to create a new paragraph, and the result is that the bullet format disappears.
As a quick fix, do the following: Click in a bulleted paragraph and press Ctrl+Shift+S; in the Apply Styles pane, click Modify. In the Modify Style dialog box, change the "Style for following paragraph" to "List Paragraph" (you may see an alias listed along with that name: "Bullets").