Hello,
MS Word applies to a cross-refence the same styles than the text bookmark when updating it. These styles can only be changed after the content is updated: https://answers.microsoft.com/en-us/office/forum/office_2010-word/how-can-i-format-the-font-in-cross-reference/5c563527-a34c-4f91-9676-2625a0bcd36c?page=1
Regards.