Thank you, Greg. You were quite right and I really shouldn't post without checking which version of code I have been testing I add to the thread.

I've hopefully taken on board your suggestions and have arrived at the following, but this still doesn't achieve my goal of the highlighted missing focus detail being removed as soon as text is input or selection is made.

Private Sub txtResearch_Change()

    If txtResearch.Text = vbNullString Then
        MsgBox "Enter Research!", vbExclamation + vbOKOnly, "Triage Hub"
        txtResearch.SetFocus
        txtResearch.BackColor = RGB(255, 255, 204)
        GoTo lbl_Exit
    End If
    
lbl_Exit:
    Exit Sub
End Sub

Private Sub cbThreat_Change()

    If cbThreat.ListIndex < 1 Then
        MsgBox "Select threat level!", vbExclamation + vbOKOnly, "Triage Hub"
        cbThreat.SetFocus
        cbThreat.BackColor = RGB(102, 255, 255)
        GoTo lbl_Exit
    End If
    
lbl_Exit:
    Exit Sub
End Sub

Private Sub EnterBut_Click()

    txtResearch_Change
    
    If txtResearch.Text < " " Then
        txtResearch.BackColor = RGB(255, 255, 204)
        GoTo lbl_Exit
    End If
    
    cbThreat_Change
    
    If cbThreat.ListIndex < 1 Then
        cbThreat.BackColor = RGB(255, 255, 204)
        GoTo lbl_Exit
    End If
    
    Tag = 1
    Hide
lbl_Exit:
    Exit Sub
End Sub