If the object is not an autoshape or a symbol, then the styles should not be creating issues.
There is a limitation with styles when used on objects like groups,autoshapes,symbols.
A workaround to use styles on such object kind is to ungroup them and then they should be working.
In CS4 and earlier there are 2 ways of creating rectangles.
The style will have limited functionality when used with Rounded Rectangle. Workaround is to ungroup it and then apply the style.