I think the basic problem here is a matter of terminology.
You were told that a Linked Style contains paragraph+character formatting,
but that does not mean that all styles do not contain
paragraph+character formatting. In fact all styles do, linked or not.
Word is a very old product. It has evolved a lot, but the basic concepts
have stayed the same across all iterations.
Word in fact has only two basic concepts: text and style. Every time you change
the format of any part of the text, you are in effect creating a new
internal style. Every part of the text has its formatting defined by
a style, meaning one and only one style, which may build upon existing styles,
but is still the only one that applies for that text.
An example from one of the references below:
if you have a paragraph formatted as MyBody, you select the paragraph, and then you explicitly apply some formatting (such as bold or italic), then you'll see a new entry in the Styles task pane. This entry will be something such as "MyBody + Bold," indicating that the document now contains at least one instance of this deviation from the standard MyBody style.
In this example, the new style is linked to MyBody, because it modifies
it in its character attribute of Bold.
You may also create new styles based-on, or in Word terminology linked-to,
an existing style.
You cannot convert a non-linked style to linked, for the simple reason that a
linked style must be based on some basic style, original or modified.
Word just doesn't know how to handle such a modification, it is perhaps just
not implemented, so is disallowed in the dialog.
Since you are looking to having your own styles in all (or many) documents,
a better mechanism might be the template.
You can always modify the default template,
normal.dotm, and that is fine
as long you only have one default document style on the computer.
It will cause problems when exporting the document to other computers.
Having your own templates for the different types of documents is a safer
methodology, although it creates its own complications.
The template is a special Word document, built-from and based-on an existing template.
You create one via File > New, choose a suitable template, or "Blank document"
Normal.dotm, change the styles to suit your needs, then
File > Save As under some descriptive name in
C:\Users\<your username>\Documents\Custom Office Templates.
Choose the document type as either
Word Template (*.dotx) or
Word Macro-Enabled Template (*.dotm).
A template can be used to create a new document, but can also be attached to an
existing document via the ribbon pane Developer > Document Template.
If the Developer pane is not displayed, go to
File > Options > Customize Ribbon, select the Developer check-box and click OK.
For more information see: