Applying a table style 'defaults' to applying a Header Row to the first row but you can turn that off in the first checkbox on the Table Design ribbon. As you already know, applying a paragraph style won't change the shading of the table cell that paragraph is sitting in.

However, I would recommend you didn't put that sort of content inside table cells. It will make life a whole lot more difficult. What added benefits do you think you get by putting all the text inside table cells?

You can apply background shading to paragraph styles and this will give you a similar look to the shading inside table cells. You can also apply a frame as part of a paragraph style if there was a limitation in the simple shading/border settings.

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Andrew Lockton
Chrysalis Design, Melbourne Australia