This code suffices
Sub M_snb()
With CreateObject("Word.document")
.Content = Replace("New text Line 1~New text Line 2~New text Line 3~# A. New Indented Text Line 1~## B. New Indented Text Line 2~# C. New Indented Text Line 3", "~", vbCr)
With .Content.Find
.Replacement.ParagraphFormat.IndentCharWidth 2
.Replacement.Style = .Parent.Parent.Styles("List Paragraph")
.Execute "## ", , , , , , , , True, "AA", 2
.Replacement.ParagraphFormat.IndentCharWidth 1
.Execute "# ", , , , , , , , True, "BB", 2
End With
.Windows(1).Visible = True
End With
End Sub