Send keys are very unreliable. It looks like Delete will not be highlighted with them. You can try to use the D accellerator for Delete.
Application.SendKeys ("%OS{UP 2}%D") 'does not delete the selected style, nor does Application.SendKeys ("%OS{UP 2}"), True Application.SendKeys ("%D"), True ' This one opens up merge, even though merge is 3 manual tabs not 2
But it is better to not use send keys at all imo.