Code not formatting strings

Ochimus

InStr returns the position of the substring you are looking for, you can use that along with Characters to do the formatting.

Option Explicit
Dim a As Long, r As Long
Dim cl As Range, searchText As Range
Dim findText As String, findText2 As String

Sub FORMATBLEND()

    With Sheet1
        a = .Cells(.Rows.Count, "A").End(xlUp).Row
        
        If a < 2 Then a = 2
        
        For r = 2 To a
            
            'If there is text in COl A
            If Not Cells(r, 1) Is Nothing Then
                
                'If Col D is blank, concatenate Cols A - C
                If .Cells(r, 4).Value = "" Then
                    .Cells(r, 4) = .Cells(r, 1).Value & " " & .Cells(r, 2).Value & " " & .Cells(r, 3).Value
                                                            
                    findText = .Cells(r, 1)
                    findText2 = .Cells(r, 2)
                    
                    If InStr(.Cells(r, 4).Value, findText) Then
                        'Make Col A string Bold and Col B string Italic - throw runtime error 424
                        .Cells(r, 4).Characters(InStr(.Cells(r, 4).Value, findText), Len(findText)).Font.Bold = True
                    End If
                    
                    If InStr(.Cells(r, 4).Value, findText2) Then
                        'Make Col B string Bold and Col B string Italic
                        .Cells(r, 4).Characters(InStr(.Cells(r, 4).Value, findText2), Len(findText2)).Font.Italic = True
                    End If
                                                
                End If
                
            End If
        
        Next
    
    End With
    
End Sub

Removed... Norie posted same solution already.

However, if you later delete the values in Column D, the font formatting will stay, so you may want to add something to remove bold/italic from the column or cells prior to setting the new text and its format.