Oh, you are right, it is paragraph shading after all!
Now I see the problem. It is in Word's current strange mechanics. Not sure if it was the same before.
When you select more text than just that white affected one (for example by selecting the whole paragraph) and apply any other shading color, then it won't be applied to the part with another color. You have to select specifically the symbols that are affected and change the color for them. Or you have first to match the color of the whole paragraph with the color of that part of the text, and then you can change it to any other.