Running heads and other text variables are considered a single character. There’s really no way around that without converting them all to real text.
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You could make various Running Head Character Styles - then insert them all in the Running Head in the correct order.
You would then be able to GREP each variable.
If that makes sense.
Create a paragraph style and three character styles. The first character style will be an empty style named after the text you don't want to change. For the second character style, it will be named after the text you want to change once it becomes a running header. Create GREP styles within the first paragraph style to sort out your source running header title appropriately into the two character styles.
In my case I want to sort the text from TM and R symbols, so the GREP I have is:
Apple Style: R and TM Header
To Text: ~r|~d
Apple Style: Header
To Text: [\l\u]
Then what you'll do is go to text variables and define two Running Header (Character Style) variables with the first two character styles. From there you can insert both running headers and then define one more character style with the formatting changes that you'll want applied to the text needing formatting. Apply this character style to the running header text that needs formatting within the master page or on a spread and save it as a library item for later use.
I know this is an old post but I hope this helps anyone still looking for answers!