What do you mean by selecting paragraph? Paragraph styles are applied to the paragraph your line cursor is in or if you highlight/select multiple characters it sets their paragraph to be that paragraph style.

Single character can only be part of a single paragraph. So if you select characters that are in different parahraphs and want to set their paragraph styles it should set all of them.

Ive just tried it in Writer and like i said its seems to be the “norm” how other soft does it (i dont have acess to Word to test that).