A family of Microsoft word processing software products for creating web, email, and print documents.
Whether you issue a command from the keyboard or from a menu shouldn't make any difference.
Assuming it is the same command, which in this case it is not.
When using the Styles pane you're simply applying the Normal paragraph style. The Shift+Command+N combo is assigned to the DemoteToBodyText command.
Note that whichever you use can be influenced by direct formatting as opposed to formatting by style in the selected text or - worse yet - a combination of the two. The latter sounds like what you may have encountered.
FWIW, my personal preference is to use the Clear Formatting item on the Styles Pane then apply the preferred style.