My version of Win 10 does not have this facility in settings, typing.
Theses “effects” are not in styles settings (reachable from various Format items). They are transformations while you type. You must look at Tools>AutoCorrect>AutoCorrect Options. Select the Options tab if not already selected.
What you ar elooking for is called Capitalize first letter of every sentence.
The key is definition of sentence. A new sentence is supposed to begin after a full stop. Consequently, as long as there is a full stop before a run of characters, the first one will be capitalised. This holds for paragraphs because the last character typed in the preceding one is usually a full stop.
I think you can type yourself the very first capital letter in the document.
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Just for the record, there are some problems with “capitalize first letter of every sentence:”
Bug 100778 - “Start with caps” autocorrect doesn’t work if word contains apostrophe and “Single quotes” option is on
Bug 80521 - FORMATTING: Automatic capitalization doesn’t work when a sentence ends with a number or capitalized last word