I selected a paragraph in a Word document and then recorded a macro involving the following steps:
1. Changed the font colour selecting font colour icon in the Font box in Home
2. Changed to bold face using the B icon
3. Changed alignment using the Justify icon in the Paragraph box
4. Numbered it using the Number icon in the same box.
The macro recorder does not record the first change. It records the other three.
When I run the macro on another selection, only the last three steps are executed.
I am able to record highlighting and shading but not change of font colour.


What is the reason for this? Are there any other features that cannot be implemented using mouse click while recording a macro?

There are many, perhaps hundreds, of actions that the macro recorder does not record. It is an imperfect tool. The code it writes, even when it does record the action, is seldom the best.
See: How to Modify a Recorded Macro by Jay Freedman.