If they inherit formatting from paragraph marks, I would think they could
easily inherit from the end-of-cell marker, but it is true that it is not
possible to select that symbol without selecting the entire cell.
A possible workaround (not tested, so no guarantees):
1. Press Enter at the end of the bulleted item to create a new paragraph.
2. Select the entire cell and remove the undesired formatting.
3. Reapply the formatting to the desired part of the bulleted text (presumed
to be at the end of the paragraph).
4. Remove the formatting from the paragraph mark (which will have been
included even if you didn't select it).
5. Use Backspace or Delete to remove the paragraph mark and join the two
paragraphs.
