When I apply a Style to a paragraph, it seems to only apply only the Paragraph settings...justification, indent, etc. When I click a second time, it seems to then apply the Font settings...italics, size, etc. I see this happening in document I'm working on and need to know if that's the way Word works or if it's just "one of those things". If Word is meant to work like this, it could be very useful when applying Styles to keep the italic words from turning to normal.

It depends. I haven't tested for this applying it twice, but when a paragraph style is applied it will normally not change short character-level formatting. I believe that if less than half the paragraph has the character-level formatting it leaves it unchanged; if more than half, it adopts the character-level formatting of the applied style.

If no text is selected, then only the paragraph style is applied. Also, you should check to see if your style is Paragraph or Linked (Paragraph and Character).