You can also change any bullet list style to a multi-level list style by following these steps:
- Go to menu "Insert"->"Outline/Bullets & Numbering..."
- Select the "Bullets" tab
- Select the desired bullet style, and click "Edit..."
- Select the "Multi level list (outline)" radio button and click OK
- Click OK again to create the bullet list
That should make the bullet list behave more as you expect.