You read wrong. It is entirely possible to use styles. If you want to keep the styles then use the following code, though this rather negates the point of using coloured text, so I have only coloured the locked control content:
Code:
Sub Macro1()
'Graham Mayor - https://www.gmayor.com - Last updated - 095 Mar 2020
Dim oSource As Document, oTarget As Document
Dim oRng As Range
Dim oPara As Paragraph
Dim oCC1 As ContentControl, oCC2 As ContentControl
Set oSource = ActiveDocument
oSource.Save
If oSource.Path = "" Then GoTo lbl_Exit
Set oTarget = Documents.Add(oSource.FullName)
oTarget.Range.Text = vbCr
For Each oPara In oSource.Paragraphs
If oPara.Range.Information(wdWithInTable) = False And Len(oPara.Range) > 1 Then
'oPara.Range.Copy
Set oRng = oTarget.Range
oRng.Collapse 0
Set oCC1 = oTarget.ContentControls.Add(wdContentControlRichText, oRng)
oCC1.Range.FormattedText = oPara.Range.FormattedText
oCC1.Range.Font.ColorIndex = wdRed
oCC1.LockContentControl = True
oCC1.LockContents = True
Set oRng = oTarget.Range
oRng.Collapse 0
Set oCC2 = oTarget.ContentControls.Add(wdContentControlRichText, oRng)
oCC2.Range.FormattedText = oPara.Range.FormattedText
'oCC2.Range.Font.ColorIndex = wdBlue
oCC2.LockContentControl = True
End If
Next oPara
oTarget.Paragraphs(1).Range.Delete
lbl_Exit:
Set oSource = Nothing
Set oTarget = Nothing
Set oRng = Nothing
Set oPara = Nothing
Exit Sub
End Sub