By default, Word will apply the Normal style to your paragraphs. Amazon knows this, so for some Kindles, it hijacks that style, changing its formatting to what Amazon prefers. This can lead, for example, to unwanted space above or below a paragraph.
If you want control of your own formatting, then, you’ll have to avoid the Normal style and apply something different. There’s no problem, though, with applying styles based on Normal, or even with applying a duplicate of Normal under a completely different name.
In regard to this, watch out for manual page breaks in recent versions of Word. Unless you’re in Compatibility Mode, each break is now placed in a paragraph of its own, and the Normal style is assigned automatically. That in itself isn’t a problem—but if you then hit Return and start typing, your new paragraph will be in Normal as well. (This is another reason to stick to the paragraph format setting “Page break before” to start a new page.)
You can change all paragraphs already in Normal style to a different one by using the Format menu in the Find and Replace dialog. Don’t enter any text, but place your cursor in first the Find box and then the Replace while choosing a style for each.