CTRL+ALT+Enter function in Word 2010

What you're seeing is the "style separator." This allows you to apply different styles to two different parts of a paragraph. Only one of the styles is then picked up by a TOC or a StyleRef field.

The most common use of the style separator is for run-in headings. The first part of the paragraph (before the style separator) is formatted with one of Word's built-in heading styles (or some other style that will appear in the TOC) and the rest of the paragraph in a body text style that will not appear in the TOC.

I also recently used the style separator in captions that would appear in a Table of Figures. The caption itself was formatted in the Caption style, which would be picked up by the TOF. But the source notes (which appeared in the same paragraph as the caption) were in a different style that would not appear in the TOF.

I'm not exactly sure how you're accomplishing what you're doing, but if it works, keep doing it. In general, a cross-reference to a caption doesn't include a StyleRef field. The caption itself may include one, however, if you have used the "Include chapter number" feature; the caption uses a StyleRef field to pick up the paragraph number of the most recent paragraph in the nominated heading style.

Ctrl+Alt+Enter, when pressed at the end of a paragraph, inserts a so-called style separator. You can apply different paragraph styles to the left and right of the style separator. This can be handy for references as you have found; you can also use it to limit the text that is included in the Table of Contents.