Cannot replace style when import text from other document

I am trying to learn everything I can about styles, as I think they are the most important tool in Word.

One thing I don't understand - if I import text from another document into my current document, many times it will have "no style" as far as I can tell. I select the text and then try to apply a style but nothing happens. Sometimes I will try to clear the style and then apply a style, but nothing happens.

What I notice is that a new style might appear, like "apple-converted-space". So I guess that is the style.

But I have tried to select all text that has this style and then change the style, but no luck. I delete the style, but still cannot set the style.

Totally maddening; what am I doing wrong?