I did go into Page Number Style and set the font, with no result. You are suggesting to change the "page number character style". Is the "page number character style" different from the "page number style"? If so, where do I find the former? I already tried the latter.

(I found a discussion of this subject in which you participated, but it was back in 2011; it was regarding an earlier version of MS Word though, when there was no discrete style for Page Number.)