That’s odd, you should definitely be seeing two checkboxes that relate to font settings, when creating or redefining a style. They are right below the control where you can select between character or paragraph style. Refer to Figure 15.14, the two checkboxes in the “Formatting” section.
Now granted, the compiler is the ultimate authority on what a style may end up looking like. In this way you could use whatever fonts you wanted while writing, and enforce them as part of the writing environment, but still use a compile format like Manuscript-Courier that forces the issue.
To make sure that is not the problem, go into the compiler, and in the left sidebar double-click on the Format’s name to edit it. In the Styles compile format pane, make sure the style you are trying to use isn’t in the list as an override, or if it is being overridden for a good reason, that at the least its font checkboxes are disabled along the bottom of this pane.
For the most part, this is all meant to work without any fiddling. You make a style, and if you want fonts, you check the boxes, and it compiles the way you set it up. The main exceptions are when using stock style names that are commonly overridden. Hopefully that principle helps explain what is going on. If you use “Block Quote” and then compile with Manuscript-Times, and try to make block quotes use Arial from the editor side of things, yeah you’re going to have a hard time unless you change what makes Manuscript-Times convert everything to TNR 12pt on purpose. So maybe the alternative is to name your style “Quotation” instead, and dodge the assumptions that serve most people well.
[size=100]Off-Topic PDF Rant[/size]
I don’t necessarily agree (obviously), but I also don’t disagree entirely either.
First, and as an aside, while the source is a little out of date (having been held up by the Windows editing process), I would say that by a very large margin, the best approach is to use Scrivener’s documentation in Scrivener. I live in that project, it is very easy to get around in and find stuff, because it must be. I could make it even better for many minds, given time—use keywords and maybe build user-centric collections instead of the editing-centric stuff—but I barely have time to edit it, let alone embark on such a project. It’s something to consider for the next time around maybe: designing a project from the ground-up to be more useful as a reference tool itself, it’s just, well in the heat of it when you’re spending nine, ten hours a day just writing furiously, messing around with keywords you’ll never use isn’t top of the list. 
But with PDF navigation, generally, I’d say a substantial problem is that most PDF readers default to a less useful thumbnail sidebar rather than showing the ToC. If a PDF has a ToC, it seems more sensible to me to always prefer that view over small thumbnails. The other problem is more specific to this PDF and is design related, with this notion of having a short broad-strokes ToC in the page flow itself. Given that the number one complaint (by a very large margin) about the 3.0 manual is how it is hard to find topics, hopefully that will be reconsidered next time around. The sidebar ToC being more detailed was the answer, but that this constantly comes up is evidence that most people are not aware that such a PDF feature even exists.
Otherwise, format choices are difficult. There are preferences people have, but to say PDF is objectively worse than others and user-unfriendly seems a bit overboard to me. Some for example suggest ePub, but I don’t really understand the appeal. I have yet to meet an ePub reader that exceeds a well-designed PDF reader for reference level reading. Obviously, for laying on a sofa on a Sunday afternoon and reading a novel, I’ll pick up my Kobo. But if I’m programming, or looking up some detail on the software I use, I would very much rather a tool like Skim, over some thinly featured ePub reader that seems more preoccupied with emulating the limitations of paper than creating a solid software-based referencing environment.
The other alternative is online, in a web page. These are usually even less useful than ePub readers, as we now barely have any software at all, but whatever conveniences the documentation itself struggles to bring to bear. Plus, you often have to be online for that, which is a huge downside for how I work.
Then there are OS level help tools—Windows is slightly better on that score, but Apple’s is—bad. Take everything bad about reading documentation in a browser, and then remove 95% of the browser’s features for working with web pages, and then make the window obnoxiously float on top of everything else and finally, only capable of showing one software’s documentation at a time, and you get an answer the neatly underscores a number of things Apple gets wrong about what a professional working environment should look like. Hilariously, you also often have to be online for it to even work, which leads one to wonder why there wasn’t just a URL provided so a proper browser can at least be used. Apple Help is so bad I’ve uninstalled demos if that’s all they offered, and weren’t compelling enough otherwise.
What’s left? man pages? 
I guess I mean to say, there are a lot of flaws with all of the popular approaches to documentation out there. It is easy to drag out significant downsides to any one of them, including PDF, I just didn’t dwell on that because I’m sure you already have them in mind.
For myself, I look for documentation in this order: if the tool is knowledge related, I look for documentation in the software itself. To my mind that is always a really good sign, when the docs are hosted in the software. It means the developers are confident in the software being capable of its intended design, and that they eat their own dog food. Failing that, I look for a downloadable PDF if I get sent to a web page. Failing that, I grumble and set up a wget configuration to batch mirror the web site to my local machine. Now that, in my subjective opinion, is what can be safely referred to as user-unfriendly—especially since most people don’t know what that means, and just live with the downsides of losing 100% of their documentation when going on a trip.