Paragraph styles do not correctly obey the Next Style setting when you hit ENTER in the middle of a paragraph. In this case the new paragraph even has No Style attached to it. Only when you hit ENTER at the end of a paragraph the following paragraph will use the correct style.
This is working as intended. The “Next Style” should only be enacted at the end of a line of text. This is to make sure that the style attributes of a block of text are not lost if a paragraph is split into two. In order to assign the new style to an existing block of text the text will need to be highlighted and a style assigned in the usual way.
There does appear to be a bug in what you report however: the transition from pnormalfirst to “No Style”. Pressing ENTER in the middle of a line should not result in a loss of style. Does this occur often for you? I was unable to reproduce it in my testing.