Someone deleted my answer which I posted yesterday, will try again.
A Hyperlink is always created with the Hyperlink insert button. Formatting the text that has been converted to a hyperlink will not delete the hyperlink at all. There is no dedicated object style for Hyperlink text, reason is that Captivate only has styles for text containers, not what is called 'character style' as you can find in desktop publishing apps. Functionality will be kept when formatting the hyperlink text. Have a look at my articles about hyperlinks:
More is in a...hyperlink - Close button - Captivate blog
More is in a... hyperlink - Dropdown Menu - Captivate blog