
Once you have made sure that works, you can proceed. It won't change "level", from that solid to a hollow bullet, because that requires entering some text on that line, then hit Enter, then you should be able to hit Tab on the new, 2nd bullet and it should indent and change the level of the bullet from the solid to the hollow one. Now, if you hit Tab you should see the bullet indent.

I found that this issue is document-specific - not a global setting in Word that got unset and needs to be rechecked. Here's what happened with me, what I tried that ultimately fixed it:
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So going to the AutoFormat options didn't work for me (the option to "Set left- and first-indent with tabs and backspaces" was already set, and reset it a couple of times did nothing - tabbing jumped to the next Heading style I had formatted), and the other answer listed here at the time of me writing this, to just use the indent buttons on the toolbar works, but gets incredibly annoying as a workaround.
