A family of Microsoft word processing software products for creating web, email, and print documents.
This can be done with shading, but you have to be a bit more creative. Using the Borders and Shading dialog, apply the desired shading color to the paragraph. Then switch to the Borders tab and apply a Box border, using the same color. Click Options... and change the "From text" settings as needed. You can set each side individually, from 0 pt to 31 pt, which should probably be adequate for your purposes. These settings can be incorporated in the heading style.