Windows 10 Home, 20H2, build 19042.630 and MS Office Professional Plus 2016, v2011 (Build 13426.20274, Click-to-run), Current Channel.

I am running both Windows and Office as a local account and not signed-in to online versions of either.

I prefer to use the ‘No Spacing’ Style where I modify the font, size, bold, italic, underline etc. I then modify the ‘Page Color’ to a colour I pefer. If I then save-as a ‘nnnnn.dotm’ template everything gets saved into the new template including ‘Page color’. If I save-as ‘normal.dotm’ template the changes to ‘Page Color’ are lost. Seems that changes to ‘Styles’ are allowed but not changes to ‘Page Color’.

Q1 - Why is this?
Q2 - Are there any other things that cannot be applied in the normal.dotm template?

Never, ever, not even on a blue moon, save anything as normal.dotm except a normal.dotm template created by Word.

I hope that is strong enough! You cannot create a template to replace normal.dotm and have a fully-functioning Word system. I know some people who might be able to do that, but I am not one of them. I do not know any of them who would try to do this.

That said, you could Open your normal.dotm template and make the changes to it directly. How to Open the Normal Template in Any Desktop Version of Word (except Mac 2008)

If you have already saved something else as normal.dotm, rename that. Let Word create a new normal.dotm for you, then open and modify that.

That said, you should not be putting any text into a normal template.

Here is a way to have a different template used as the default for new documents without making changes to the normal template:
Easy New Document Template Package

Thank you Charles. I followed your 'How to open the Normal Template..." link and followed the instructions so that Word opens with my customisations intact except for the page colour. It seems that Word can only open with a white 'Page Color' which is annoying (I find it too dazzling) but I suppose I will have to accept that's how it is and use a workaround.

I have put a shortcut on my desktop that points to another .dotm Word template in my 'Custom Office Templates' folder and this opens as I want with the customised page colour so it is an acceptable workaround.