I'm guessing is it is because the search string includes the paragraph mark and with a replace, everything defined is replaced so in the resulting vacuum Word just thinks the style should be the one following. Something like this could be used as a work around:
Code:
Sub ScratchMacro()
'A basic Word macro coded by Greg Maxey
Dim oRng As Range
Set oRng = ActiveDocument.Paragraphs(1).Range
oRng.End = oRng.End - 1
oRng.Text = Replace(oRng.Text, ",", " ", 1, , vbTextCompare)
lbl_Exit:
Exit Sub
End Sub