Hey Charles,
To solve your problem, we will need to employ a method that was used in the dark days before paragraph shading; underline options.
First, create a paragraph style that you will be using on your text. Let’s call this paragraph style “Main Para Style”. For my example, my “Main Paragraph Style” is going to be 20pt text.
Next, create a new character style and name it something super cool (a cool name is an absolute must for this to work). Go to “Underline Options” in your super cool new character style and make sure that you have the “Underline On” box checked. It is also helpful to make sure that you have the “Preview” box checked as well (so that you can see what you’re doing).
Make the underline weight a point or two more than your paragraph style’s text size. In my example, my “Main Para Style” is 20pt text so I am going to make the underline weight 22pt. Now you will need to adjust the “Offset” of the underline to bring it up behind the text. The offset in my example style is -6.
Finally, go to your paragraph style and under the “Drop Caps and Nested Styles” options, add a new nested style that applies your super cool character style through 1 letter.
That’s it! You now have a super cool paragraph style that has block shading behind the first letter!