Surely Styles creates formats?

The point I am making is that e-book conversion rips away all formatting, leaving you with just the most basic text. This is why indents have to be registered as three spaces. A Style won't pass through the conversion process (why would it? An e-book doesn't have the concept of a Style). Even successive Returns can cause problems on conversion.

I do need advice specifically on creating a macro (or getting the Replace function to recognise the pilcrow). I would especially welcome advice from someone who has published an e-book and so understands this particular challenge.