I don't think it is weird, just complex.



The formatting of your content (outside of tables) comes from
1. The paragraph style + character style. These styles can inherit their properties from other styles, color theme palette or font theme
2. Local formatting which can override anything above. This local formatting can inherit theme properties too.

When you apply a style set, you are importing style information but as you can see above there are other things that might be overriding the 'style settings'. The questions I would ask are:
Is the style built-in?
Is there local formatting applied which overrides the style?
Does the applied style exist in the style set?
Does that style have attributes based on themes? If so, did you change the color and font themes too?

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Andrew Lockton
Chrysalis Design, Melbourne Australia