You're not doing anything wrong to start with, it's true there can only be chosen one style for each of the 'Five directions' in a table. Header, left, body, right and footer. So in total you would have 5 cellstyles for 1 of your tablestyles. If you would even want one cell in the header/footer to be another design, you would have to manually do that, or assign a 6th style, or one of the styles that differ from the one you are about to override. Depending on your workflow.
Probably not the most easiest way to begin with, but practice makes perfect, and an occasional video at Lynda, have you seen 'Indesign Styles in depth'? Then it will make much more sense.
Still, there are some limitations to a table, but they are easily overcome with a smart cell- and tablestyle plan.
If it's just one table to format, then manually would be better, does this answer your question a bit?