Excel supports two types of controls:
ActiveX Controls and Excel Controls.
The ones you talk of are the Excel controls
available from the Forms tool bar, these controls
offer little in the way of propeties which you
can change. You are better off using the ActiveX
controls avail from the Control Toolbox toolbar, these will give you the
properties you wish to alter.

Right click on the check box and select properties ...
categorised....FONT...font...and then on the small square with three dots

Good Luck
Bill K