ls,
First create a character tag that is set to bold only, e.g. Shift+F8 in the Character Designer to set everything to AsIs, then select Weight:Bold, give the character tag a name, e.g. myBold (or whatever semantic meaning you want for this) and click on Commands > New Format > Store in Catalog.
When you create the paratag, do not set the Bold property in the paragraph designer font properties. Instead, under the Numbering tab, enter "Note: " in the autonumber field and select the "myBold" from Character Tag format list shown for this tab.
Have you installed the 9.0.2 patch for FM9? It should say FM9.0p237 under Help > About FrameMaker... for the latest version if it's installed.