I agree this is very confusing. If you allow the entire TOC entry (as
opposed to just the page numbers) to be hyperlinked, then Word does indeed
display the Hyperlink character style (instead of the underlying paragraph
style) as the "Formatting of selected text" in the Styles and Formatting
task pane.

There are various ways around this:

1. If you change the paragraph formatting of a single TOC entry, most likely
the style will be updated (TOC styles are by default set to update
automatically).

2. You *can* access the Modify Style dialog for styles that are not
displayed, though it requires some unintuitive steps (see
http://www.shaunakelly.com/word/styles/ModifyAStyle.html).

3. You could temporarily unlink the TOC entries: press Alt+F9 to display the
field code, delete the \h switch, Alt+F9 to toggle back, and F9 to update.
You should then see TOC 1, TOC 2, etc., as the "Formatting of selected
text." Later you can add the \h switch back if desired.