This was pasted from a web page, so HTML styling is applied. I find that when I select the whole web page with Ctrl-A and then copy and paste into Word, the blue paragraph shading does not appear.
If you want to retain the paragraph shading and just change it to a different color, you need to convert the HTML styling to Word styles:
Click the lower right corner of the Styles panel to open the Styles pane, then on Options. Select styles in the current document and tick the box to show Paragraph level formatting.
Now you see a list of styles that have been converted from the HTML styling. If you hover over them, you see a pop-up with the formatting details of each style. The blue background has been applied as a paragraph shading. You can now select the down-arrow on each style and select Modify Style > Format button > Border ... > Shading Tab and set a different paragraph shading color for that style.
You need to do that for each style that has the blue background applied.