You should be able to apply styles to any vector (or even raster/bitmap) object.What steps are you going through?
Well what I did was make a normal rounded rectangle and then attempt to apply a style to it, It does noting to it at all, It just sits there.
I appled the same style to a range of other shapes and it works fine.
I also forgot to mention this is CS4.
If you are using Rounded rectangle and applying style to it, then before applying the style, just ungroup the rectangle.
Once the rectangle has been ungrouped it will reflect as Path in the Layers panel and then any style will be applied.
This is a design limitation which will be encountered when you apply style to any autoshape or a grouped object.