I don’t think there is a way to assign a character style to the commas and spaces (the page number separator). When you choose one comma, for example, and look in the Character Styles panel, do you see that a character style has been applied?

Or perhaps that is the “natural” size of the index paragraph style? Are you telling InDesign to assign a character style to the other parts of the index entry?

You can open PageMaker files in CS6 and earlier:
https://creativepro.com/open-pagemaker-files-indesign-hang-cs6.php
that may be better than copy/paste.

This old PDF might also be helpful (it is labeled quark.pdf for some reason, but it is actually about PageMaker): http://www.indesignsecrets.com/rwid/quark.pdf

You can find line breaks in the Find/Change dialog box. I think there’s more info in this thread: https://creativepro.com/topic/delete-all-line-breaks

Hi Sam: Sorry, sometimes posts get held for moderation and disappear for a while. I’ve approved the posts (below).

More comments about grid design here:

Using Baseline Grid to typset books?

https://creativepro.com/taming-baseline-grid-previews.php
https://arlo.me/gridelicious/

Designing Posters

Nigel French even has a whole title on the topic here: https://www.lynda.com/InDesign-tutorials/Designing-Grids-InDesign/141130-2.html

You might be able to use Data Merge with a script: https://creativepro.com/using-data-merge-to-create-a-table-for-a-directory.php