So the solution here would be to:
a) To loop through each paragraph, verify it is a paragraph with levels (list), create an array of paragraph index when level is the third level
Code:
For Each para In ActiveDocument.ListParagraphs
If para.Range.ListFormat.ListType <> wdListNoNumbering Then
b) To use the macro above, but if lvl.Index is found in array, then don't change to Times New Roman.
Code:
For Each lev In ActiveDocument.ListTemplates
For Each lvl In lev.ListLevels
If lvl.Index (found in array) Then
It seems it is possible to determine the level of the list using ListLevels or ListTemplates.
The only way to know level of list is through ListFormat properties (.ListLevelNumber, .ListString and .ListValue)