To prevent this confusion in the future, I propose to add a description to the "Default style" option along the lines of the following:
The linked "anonymous user" is optional, but convenient. Probably even more intuitive would be to enable the board administrator to set the guest board style in the same place as the board-wide default style, but that would also break the logic of the ACP somewhat.Newly registered accounts will view the board in this style by default. To change the style in which users who are not logged in view the board, change the board style of the anonymous user.
On a side note: another thing that confuses me about the "Default style" setting is that it does not change the style for users who never set a preferred style in the board preferences. In my view, those users are using the default style as opposed to a user-specified style and should therefore see a different style if the board-wide default style is changed.
Use case: suppose a manga fan forum gets increasingly popular and decides to introduce a custom manga-themed phpBB style. The only intuitive way to make their existing userbase actually see this new style without requiring each of them to set it manually is to enable the "Override user style" option, but that forces all users to the new style. This may annoy users who don't like the new style or can't use it well due to computer or browser constraints.
Final note: this confusion may also apply to "Default language", though I am not certain if the behavior of that setting is the same.