It is poor practice to use a pair of soft returns instead of a single return. The coding for each (real) paragraph would be much easier too.
Code:
Private Sub Document_ContentControlOnExit(ByVal CCtrl As ContentControl, Cancel As Boolean)
Dim aPara As Paragraph
With CCtrl
Select Case .Type
Case wdContentControlText, wdContentControlRichText, wdContentControlComboBox
On Error Resume Next
For Each aPara In .Range.Paragraphs
aPara.Range.Characters.First = UCase(aPara.Range.Characters.First)
Next aPara
Case Else
End Select
End With
End Sub