Sorry, I don't see that behavior at all.
In Word, hyperlinks are blue and underlined because the character
style named "Hyperlink" is applied to them. When I unlink with Ctrl+A,
Ctrl+Shift+F9, the Hyperlink style is automatically removed along with
the links, and the text returns to the underlying paragraph style such
as Normal. This is the same in Word 2007 as in 2003. I don't know why
it doesn't seem to work for you.
If somehow Hyperlink style is still applied to the text after
unlinking, you can do one of two things:
- Modify the definition of the Hyperlink character style to be "No
underline" and color "Automatic".
- Use the Replace dialog. First click the More button to expand the
dialog. With the cursor in the Find What box, click the Format button,
Style, Hyperlink, OK. Move the cursor to the Replace With box and
click Format, Style, Default Paragraph Font, OK. Then click the
Replace All button.