I don't thing ID can interpret tags during a data merge -- it expects either plain text or an image path.
You could use Find/Change after the merge, however, to lovate the tags, add the style, and remove the tags. This could be very simple, or extremly difficult, depending onthe number of styles and wheter character styles or local formatting are used outside the paragraph styles.
Sorry, I only just saw your reply! I've since moved on from this question, and I don't even know what I was talking about any more.