How to set up a paragraph style with mixed character styles?

Contrary to Quark Xpress, a paragraph style in InDesign has per default NO character style.

A character style in InDesign is not fulle defined as it is in Quark Xpress, only differences to the host paragraph style are defined, like color, language, font, font style, etc.

You can apply a character style in a Paragraph Style in an automatic way with different means:

1. As nested style from a specified position or character to another psotion or character.
2. As initial letter, as dropping letter for the beginning in a a paragraph.
3. As line style for a specified number of lines
4. For automatic list numbers and bullets

Further you will find automatic apply of character styles with cross references, table of contents, index, automatic captions, etc. Maybe I have forgotten some cases.

If we co to your example: 

1. Make a list, call it Figure or wahteer you want.
2. Create a harcter style bold for the text at the beginning.
3. Create a paragraph style, go to the numbers and bullets section.
4. Select the list
5. Apply a level
6. Select as numbers 1, 2, 3, …
7. Write "Figure " Select number placeholder and ": "
8. Select the Character style for that numbering.

You can use nested styles. See help here :

https://helpx.adobe.com/in/indesign/using/drop-caps-nested-styles.html

You could also use a custom numbered style.