If two styles have IDENTICAL border settings, and the merge checkbox is checked, the border style will flow across as many paragraphs as you like. Very powerful formatting feature. But if there is any difference between two styles (even a point of rule width or spacing), it won't work.
Best to use cascading styles to keep things aligned. Set all the border characteristics in the first style, then create child styles for things like first-paragraphs and indented quote text. Don't touch the border settings in the child styles. Trying to set everything exactly the same in multiple styles just leads to frustration. 🙂
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