Firstly, your better off using liststyles than paragraph list styles, I screwed around a long time before I had to set everything to liststyles rather than paragraph ones. So dont worry about that.
The first issue, of not seeing the style - it is there, if you open the Styles tab on screen (click in a topic to get the cursor, then Format > Styles), not just the dropdown like youve shown youll see a list of all your styles, almost, it will show paragraph styles, click the drop-down and select All available styles, this will display your list styles as well!
Im not sure about the style settings, I have the same text setting applied in my list style as I use for my 'normal' text. Though I think you can select the text in a list and apply a paragraph style to it....i just tried and it worked, but to be on the safe side you might want to set the text formatting in the list style css too..
mine looks like this
font-family: Helvetica, sans-serif;
As for printed formats not indenting lists, this is an issue. So far I have found no way around it because you cannot map a list styles in RH to a list style in Word. This has also created errors for line spacing and indents - and I found the indents are severly messed up when using list styles in snippets. Everytime I create printed documentation I have to manually fix it, a pain but it doesnt take too long....you could use macros etc to speed it all up for you.
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Hope it helps.