[Post on the inability to have shortcuts for Styles and Bullets edited because it was long and wrong and may be confusing…]
For details of how to do it properly, please see BlueFrog’s post lower down this thread and @pete31’s thread here How to use RTF lists and styles shortcut
The short answer is: the list icon in the Editing bar isn’t enough: you need to have the Formatting Bar visible where the same icon will bring up a list of default list elements (and allow shortcuts).
Apologies for the confusion.