There is no rule. You can format an entire document in Normal style with
direct formatting if you like. But your document file will likely be larger
than if you had used styles meticulously. In even the most structured
documents, there are tradeoffs; sometimes it is just not worth the trouble
to create a new file for a single instance of formatting. But it might be
worthwhile to figure out why the single paragraph is formatted differently
from any other in the document and see if it can't be made to conform.

--
Suzanne S. Barnhill
Microsoft MVP (Word)