Could someone please tell me why the following code works (i.e. goes through
the various Stories) ...

For Each aStory In ActiveDocument.StoryRanges
       Selection.HomeKey Unit:=wdStory, Extend:=wdMove
       
       With aStory.Find
           .Text = "text"
           .Replacement.Text = "XXXXXXXX"
           .Execute Replace:=wdReplaceAll
       End With

Next aStory

... but the following does not (and it makes no difference whether Range or
Selection is used, or what character the Range/selection is moved to):

   Dim aStory As Word.Range
   Dim aRange As Word.Range
   Dim strA As String
   Dim i As Integer
   
   Selection.HomeKey Unit:=wdStory, Extend:=wdMove
   Set aRange = ActiveDocument.Range(Start:=0, End:=0)
   
   For Each aStory In ActiveDocument.StoryRanges
       For i = 1 To aStory.Paragraphs.Count
           With aRange
               .MoveUntil Cset:=Chr$(13)
               .MoveStart Unit:=wdCharacter, Count:=-1
               .Select
           End With
           strA = aRange.Text
           Do While Asc(strA) = 32
               aRange.Collapse Direction:=wdCollapseStart
               aRange.Delete Unit:=wdCharacter, Count:=1
               aRange.MoveStart Unit:=wdCharacter, Count:=-1
               strA = aRange.Text
           Loop
           With aRange
               .MoveUntil Cset:=Chr$(13)
               .MoveStart Unit:=wdCharacter, Count:=1
           End With
       Next i
   Next aStory

Thanks