It can be done via a ContentControlOnExit macro, but it's hardly intuitive:
Code:
Private Sub Document_ContentControlOnExit(ByVal CCtrl As ContentControl, Cancel As Boolean)
With CCtrl
.Type = wdContentControlRichText
.Range.Font.Bold = False
.Range.Words.First.Font.Bold = True
.Type = wdContentControlDropdownList
End With
End Sub