InDesign CC 2018
Set up a table style and apply it to a table.
In the Table style, define a Cell style to be used.
In the CELL style, define a Paragraph style to be used. In the same Cell style also set a Text inset (to be sure you see that the cell style is in effect).

Now put the text cursor inside a table cell, and notice how the currect Table style is selected in the Table styles panel, and also the correct paragraph Style in the Paragraph Panel.
But in the Cell Style panel, there is no selection. It still says: [none].