If there is more than one control in the document then it must be limited to the control either by checking against the current control's title or tag. It is also advisable to check whether the control is showing the placeholder text e.g.
Code:
Private Sub Document_ContentControlOnExit(ByVal CCtrl As ContentControl, Cancel As Boolean)
With CCtrl
If CCtrl.Title = "Names" Then 'the name of the control
If CCtrl.ShowingPlaceholderText = False Then
.Type = wdContentControlRichText
.Range.Font.Bold = False
.Range.Words.First.Font.Bold = True
.Type = wdContentControlDropdownList
Else
.Range.Font.Bold = False
End If
End If
End With
End Sub