OK, here's a biggie:
If you just highlight a portion of the paragraph and apply a style to
it, Word does its trickery, and it looks great.
The next moment, you may wish to apply a new style to either the
heading portion or to the body portion of that paragraph.
Surprise!
The whole paragraph changes, not just the portion you had the cursor
planted in. Your cute heading became "one" with the rest. Well, not
"one" exactly, but the behaviour is pretty strange.
Break the paragraph, select the para mark and format it as a style
break, and you can apply styles to either half without toasting the
other!
YMMV, but I think the para/style break method is much more
maintainable.
cheers
Jay