alt/option + new style
When you want to create a new style and have the window pop up immediatly, you have to alt+click on ne "new style" button.
The window should pop up when you simply click the "new style" button. This should be the same for other panels such as the swatches panel.
Scott Falkner commented
Agreed. The default behaviour should be a dialogue where you can enter the name and adjust other attributes. A common case is when I format some body copy to make a subhead style. I’ll change the font and paragraph spacing because those are easily accessible in the panels, but keep options and paragraph rules are not as easy to access, so I’ll add those features in the Style Options dialogue. I’ll also, of course, name the style.
I can’t recall ever not wanting to access the Style Options dialogue when I create a new style. It should be the default, or selectable as the default in Preferences.