"apply paragraph style to the selection" grayed out

Usually, when you make a new paragraph style, you are in a Type tool and that Type tool is usually selecting some text. If that is the case, when you click the + sign new style button you make a new paragraph style.

If you edit that new style and find that the Apply to Selection is grayed-out, it is because it is already applied to the text.

Some use the black arrow Selection tool to select a whole textframe and apply or make the paragraph style. If so, any text typed into that frame will pick up that paragraph style unless specifically selected and changed with the Type tool. I usually don't apply paragraph styles directly to the textframe. 

Here are some things I do and don't do:

I try to make paragraph and character styles with nothing selected at all. That way I avoid accidentally applying styles to text that I didn't mean to.

I always Opt/Alt click the new style button in order to open up the paragraph style options dialog box. Usually, I am in there to set up multiple attributes.

When you Opt/Alt click the new style button, you might have the Type tool selected and you can turn on the switch for Apply to Selected Text. Or you can turn it off, too. I find that once I turn that switch on, it tends to stay on the next time I make a style.

Although you can double-click a style to edit it; I find it safer to right-click and choose edit. This is so that I don't inadvertently apply the style when I am going too fast and not watching where the Type tool is selected.

This is not a bug - it's a feature!

Paragraph styles applies to entire paragraph, and character styles if what you are looking for