I am working on my FAQ page, and I have a series of text boxes that contain my various questions. What I initally did, and was confused about, was to click on each text box once, then set it's target in the hyperlink dropdown. To my surprise, my default link style did not automatically apply when I went into preview mode. What I realized is that applying the link to the text "box" is not the same as applying it to the text itself. This seems like somewhat of a bug to me, but I can also see why it might be reasonable to distinguish between these two ways of applying effects. Just wanted to point that out to the development team as a nuance that they may want to address.
The reason behind this is the fact that textboxes have their own states as well, which you can see in the states panel. For a better explanation on this, refer to this thread: http://forums.adobe.com/message/4527501#4527501
Hope this helps.
And this thread explains how to apply the link style to the textbox, all that needs to be done is to make the link by selecting the text in place of the textbox first: http://forums.adobe.com/message/5701626#5701626