Have you tried applying direct formatting (or a custom character style)
instead? Note that any formatting added will be lost when fields are
updated, unless you actually format the field code and add the \
*CHARFORMAT switch to it. This macro will do exactly that for REF and
PAGEREF fields:

Sub FormatRefFields()
Dim f As Field
For Each f In ActiveDocument.Fields
   If f.Type = wdFieldRef Or f.Type = wdFieldPageref Then
       f.Code.Font.Color = wdColorBlue
       f.Code.Font.Underline = wdUnderlineSingle
       If InStr(UCase$(f.Code.Text), "\* CHARFORMAT") = 0 Then
           f.Code.Text = f.Code.Text & "\* CHARFORMAT"
       End If
       f.Update
   End If
Next f
End Sub