ID definitely can get confused with Word files. That’s why I run macros to capture any local formatting and then save as a plain text file and import that way.
So far as just clicking in a paragraph and selecting the paragraph style: ID is doing what you asked. If you place a word file into InDesign and tell it to bring in the local formatting from the Word file, then that’s what it does.
And if character styles were used in the Word file, those will come through as well.
One way to clear overrides is to hold down the option key and then click the paragraph style sheet. That will clear all local formatting, however.
And—if there are character styles applied, you’d have to select the entire paragraph and click “none” as you did.
Off topic—I have a good friend who’s name is Jo. People always ask her what her real name is (i.e., is Jo an abbreviation of Joanne or Josephine or something). She always says “No. My name is Jo. Just Jo.” That’s why her nickname is “Just Jo.”