The + means that your frame is NOT in accordance with your style.
I know. I said there was no +:
the Object Styles panel shows that my style is selected, and it doesn't have a "+"
I can also replicate the bug.
Drawing out a text frame with the Object Style selected will create a text frame without insets, if rounded corners are defined in the object style.
The insets are only applied, if you switch to a different object style and then apply the object style with the insets.
Seems to be an old one.
Just tested with InDesign CS5.5.
Also see it already in CS3 in a slightly different flavor:
First it seems there is no bug, because the insets are there, if you draw out a text frame with the object style.
But if you change the height or the width of the frame suddenly no insets are applied.
Only if you change the applied object style and reapply the one with the insets, the insets are rendered.
And only then, changing the height or the width of the text frame will do no harm to the insets.
Instead of switching to another object style and back to the one with the insets when the text frame is still selected, one could also re-apply the object style with the ALT key pressed (Mac OSX). Even when there is no [+] sign at the name of the object style indicating that there are deviations to the style intended.
Hope, that helps a bit…