If you just click on the Numbering button to start a numbered list, Word applies the List Paragraph style, which includes the "Don't add space..." setting. You can modify that style to omit that setting; be sure to save the change to the Normal template
by selecting the radio button for "New documents based on the Normal template."
A better solution is to use Define New Multilevel List to set up your list the way you want it, linked to specific styles. Unless you have a good reason for not using them, I recommend the List Number series (List Number for Level 1, List
Number 2 for Level 2, and so on). In defining the List Number styles, you can omit the "Don't add space..." setting.