Field shading does not apply to content controls. Unless you shade them manually (which means the shading will be printed), those cannot be shaded when 'filling in forms' protection is applied; only if you use the 'no changes (read only)' editing restrictions. When such protection is applied, the shading for editable areas (which isn't restricted to just content controls) becomes a pale yellow.

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Cheers,
Paul Edstein
[Fmr MS MVP - Word]