Are you mixing up paragraph styles with character styles?
A paragraph style sets the global formatting of a paragraph. A character style only changes part of the paragraph style, for example, because you want a single word to be italicized or bolded.
If you don't have any 'special' formatting in your paragraph (at least, not at the point you inserted your cursor), there is no “local change”, and so if you create a new character style based on this you get exactly what you asked for: the difference between the current insertion point and the paragraph style, No Change At All.
Try this: set a single word in one of your paragraphs to bold. Click the cursor into it, then create a new char style. Now it should say “Bold”. (If it doesn't, there is something wrong with your computer, your InDesign, your document, or perhaps your monitor.)
Ah — and there is nothing happening in the background when you create a new style based upon current formatting; in particular, this new style is not going to be magically applied to all instances of that particular formatting! (Or possible only once, if you clicked the checkbox “Apply Style to Selection”.) So, yeah sure, you got a new style; but then you'd have to apply it everywhere where needed.
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