Version 15.0.1, Windows. (Tested with some previous versions also.)

Steps to reproduce:
First: I'm using "Europe General Purpose 3" colour settings, which should, in general, preserve CMYK numbers during workflows.
Create a new document A.indd. Define a new CMYK swatch S (for example, C50-M0-Y0-K0). Define a new paragraph style P which uses S as character colour.
Create another document B.indd. Assign it some different CMYK profile than A.indd has assigned.
Use "Load Paragraph Styles" to copy style P from A.indd to B.indd.

Expected result:
In B.indd, I expect to have swatch S with exact the same CMYK numbers than in A.indd. (That is what I get with "Load Swatches" or with copy-pasting P-formatted text from A.indd to B.indd.)

Actual result:
Slightly different CMYK numbers for swatch S in B.indd. That is, Indesign is doing CMYK-CMYK colour conversion during style load.