Got it.
For the sake of delivering clean work, here is a variant that sets the style of any newly inserted empty paragraph to the base style “plain text”.
That is, no lonely list bullets in empty paragraphs. Styles of the existing paragraphs are left untouched.
tell application "Microsoft Word"
tell active document
set spacedPars to every paragraph whose (space before is greater than 0 or space after is greater than 0)
repeat with thePar in spacedPars
if space before of thePar is greater than 0 then
set space before of thePar to 0
insert text "†" at before text object of thePar
end if
if space after of thePar is greater than 0 then
set space after of thePar to 0
insert text "†" at after text object of thePar
end if
end repeat
set makePars to find object of text object
set content of makePars to "†{1,}"
set content of replacement of makePars to "^p"
# Optional: style of the inserted empty paragraphs
set style of replacement of makePars to style plain text
execute find makePars match wildcards yes replace replace all
end tell
end tell
Please give it test run. If it’s fine I will also update my answer to your post on StackOverflow.