I am making a phone book from a database. In the template, I use
paragraph style for each line, and a SEPARATE character style applied to
just the last name. In the merged document the last name has the correct
 appearance, but the character style is itself is lost. That is, the
character style is not an attribute of the last name data pulled from
the data source.

The significance is that I am trying to make Dictionary Style headers,
and without actual text on each line of the character style, it never
makes dictionary headings, claiming there is no text of this style on
the page. Indeed there is no.  Meanwhile, back at the template, the last
name field shows as being decorated with the character style, and the
header shows the name of the field.