Not all line spacing is equal. There is the simple setting you have tried to use, but this can be overridden by lesser used forms, found in the Format ▸ Paragraph ▸ Line and Paragraph Spacing... menu command. Specifically, you probably want everything but the Line height multiple at the top set to 0pt. Paragraph spacing, at the bottom, is separate from line height settings.
Well, the fact that you are working with styled text explains a lot. The command I referred to will specifically not change styled text as it is designed instead to revert normal, or body text, to default.
The only thing that seems to work is creating a brand new style and manually selecting each paragraph that’s faulty with the new style.
There are a number of forking questions that arise off of that description, as it is unclear what it is you are attempting to do. Are you trying to change how the style itself is formatted (and in turn the text that uses it)?
If so, refer to §17.3.3, Redefining a Style, in the user manual PDF. The previous section documents the panel you will see, when using either of the methods it describes. The panel it refers to is found in the same submenu as the first method that is listed, and will be more useful if you are doing a bit of style work, than having to drill down into these menus over and over.
Another point worth considering in your statement is that one would hardly ever have to manually select each paragraph one by one in order to switch it from one style to another. Again, bearing in mind one would not do that in order to change how a style looks in the first place, if you do have a legitimate reason to do this, then refer to §17.4.1, Selecting and Searching for Styles, on the next page or so. You can with a single command select all text styled a certain way, right from within the Styles Panel, and then click another style to re-assign.
One last point of reference in the manual is §17.1, Think Different. If you are laboriously going through and marking each body paragraph with a style, you’ll be digging yourself into an unnecessary position that is more difficult to work with, in a program like Scrivener. Leave styles for the exceptions, like quotations and captions. This is why the software ships with no “Body” style in the default settings.
Okay, well it’s worth noting that you often do not have to worry about that level of detail while writing, in Scrivener. Most of the built-in compile Formats, those that use indenting as a way of denoting paragraphs, are set up to automatically handle indent flattening for you in a way that is conventional, and there are a lot of settings for fine-tuning that if required.
The how is contextual in that there are a few settings involved:
After opening compile, double-click on the preview tile in the middle column that shows a typical text Layout, to edit it. This will take you to the Section Layout setup, where you can click on the Settings tab, and examine the indent policy for text using this layout. It is possible to have indents suppressed after all non-body elements for instance, but I believe most just use empty line (minor breaks) or first-in-section suppression.
In the Styles pane, note how individual styles can control indent policy, both within themselves and for what follows. Block quote for example can suppress indenting on the paragraph following. So that is how you would create a more fine-grained set of rules than just blanket suppression after all elements.
Here is what a before and after could look like, with Scrivener on the left and ODT output in LibreOffice on the right:
Note I’m not even using indents while writing, but spacing between paragraphs, and a with monospace font. This is an example of using Scrivener’s writing side in alignment with one’s own preferences, rather than conforming to how a document must look in the end. For that, we end up with serifs, indents with no spacing—and as you can see the indents for the first para in the section are removed, along with the one following the quote.
You don’t have to use it this way, to be clear, but you have the option to do so, and out of the box that’s how it’s meant to work. You may have to do more work to try and “force the matter”. For instance if your paragraph style conveys font settings, and you were writing using monospace like I do, then you might end up with all paragraphs following quotes using monospace, without going into the Styles compile format pane and creating an override. You can, of course, but it’s more work—and it requires a kind of format while writing creatively mental divide that you can otherwise entirely dispense with when using a tool like this.