Word 2010 - Shading paragraph background

The background colour only affects the actual text and paragraph (which the gutter on the left of the bullet points is not technically a part of).

You'll probably have to wrap the block you want shaded in a table cell and then use Borders and Shading to set the background colour for the entire cell.

The answer to the issue is in the very next tool, "Borders and Shading".

1. From the drop-down menu choose "Borders and Shading..."
2. Click the "Shading" tab
3. Choose the desired "Fill color"

The only other way to do it, is to reduce the indent of the bullet point so that it lines up with the text. You can do this by going to Page Layout > Put your cursor on the bullet > Reduce the Left Indent.