I would assume because Title is a Linked Style (for paragraph & character) that it works this way. I also just tried it with the Subtitle style and it worked also and Subtitle is also a linked style type. I would guess that the style you have created as a custom style for this is probably a normal paragraph style meaning it would automatically apply to the entire paragraph. Try changing the custom style you created for the subheading to the Style Type: Linked (paragraph and character) and see if that works.