You could use a ContentControlOnExit macro like:
Code:
Private Sub Document_ContentControlOnExit(ByVal CCtrl As ContentControl, Cancel As Boolean)
With CCtrl
Select Case .Type
Case wdContentControlText, wdContentControlRichText, wdContentControlComboBox
.Range.Characters.First = UCase(.Range.Characters.First)
Case Else
End Select
End With
End Sub