The shortcut Ctrl+Shift+L applies the built-in List Bullet paragraph style. You can verify the style name if you click in the text paragraph and press Ctrl+Shift+S to display the Apply Styles pane.
The bullet format you get when clicking on the Bullet icon is different, in most cases. Actually, Word tries to apply the most recently selected format when you click the Bullet icon.
For more control, use the style. It can of course be customized as desired.