It is strange....it works fine for me:
untitled.pro:
#-------------------------------------------------
#
# Project created by QtCreator 2014-10-07T11:34:54
#
#-------------------------------------------------
QT       += core gui
greaterThan(QT_MAJOR_VERSION, 4): QT += widgets
TARGET = untitled
TEMPLATE = app
SOURCES += main.cpp\
        mainwindow.cpp \
    mywidget.cpp
HEADERS  += mainwindow.h \
    mywidget.h
FORMS    += mainwindow.ui
mainwindow.h:
#ifndef MAINWINDOW_H
#define MAINWINDOW_H
#include <QMainWindow>
namespace Ui {
class MainWindow;
}
class MainWindow : public QMainWindow
{
    Q_OBJECT
public:
    explicit MainWindow(QWidget *parent = 0);
    ~MainWindow();
private:
    Ui::MainWindow *ui;
};
#endif // MAINWINDOW_H
mainwindow.cpp:
#include "mainwindow.h"
#include "ui_mainwindow.h"
MainWindow::MainWindow(QWidget *parent) :
    QMainWindow(parent),
    ui(new Ui::MainWindow)
{
    ui->setupUi(this);
}
MainWindow::~MainWindow()
{
    delete ui;
}
mainwindow.ui:
<?xml version="1.0" encoding="UTF-8"?>
<ui version="4.0">
 <class>MainWindow</class>
 <widget class="QMainWindow" name="MainWindow">
  <property name="geometry">
   <rect>
    <x>0</x>
    <y>0</y>
    <width>400</width>
    <height>300</height>
   </rect>
  </property>
  <property name="windowTitle">
   <string>MainWindow</string>
  </property>
  <property name="styleSheet">
   <string notr="true"/>
  </property>
  <widget class="QWidget" name="centralWidget">
   <widget class="MyWidget" name="widget" native="true">
    <property name="geometry">
     <rect>
      <x>70</x>
      <y>30</y>
      <width>201</width>
      <height>121</height>
     </rect>
    </property>
    <property name="styleSheet">
     <string notr="true"/>
    </property>
    <widget class="QPushButton" name="pushButton">
     <property name="geometry">
      <rect>
       <x>30</x>
       <y>20</y>
       <width>75</width>
       <height>23</height>
      </rect>
     </property>
     <property name="text">
      <string>PushButton</string>
     </property>
    </widget>
   </widget>
  </widget>
  <widget class="QMenuBar" name="menuBar">
   <property name="geometry">
    <rect>
     <x>0</x>
     <y>0</y>
     <width>400</width>
     <height>21</height>
    </rect>
   </property>
  </widget>
  <widget class="QToolBar" name="mainToolBar">
   <attribute name="toolBarArea">
    <enum>TopToolBarArea</enum>
   </attribute>
   <attribute name="toolBarBreak">
    <bool>false</bool>
   </attribute>
  </widget>
  <widget class="QStatusBar" name="statusBar"/>
 </widget>
 <layoutdefault spacing="6" margin="11"/>
 <customwidgets>
  <customwidget>
   <class>MyWidget</class>
   <extends>QWidget</extends>
   <header>mywidget.h</header>
   <container>1</container>
  </customwidget>
 </customwidgets>
 <resources/>
 <connections/>
</ui>
mywidget.h:
#ifndef MYWIDGET_H
#define MYWIDGET_H
#include <QWidget>
class MyWidget : public QWidget
{
    Q_OBJECT
public:
    explicit MyWidget(QWidget *parent = 0);
protected:
    void paintEvent(QPaintEvent *e);
};
#endif // MYWIDGET_H
mywidget.cpp:
#include "mywidget.h"
#include <QStyleOption>
#include <QPainter>
MyWidget::MyWidget(QWidget *parent) :
    QWidget(parent)
{
}
void MyWidget::paintEvent(QPaintEvent *e)
{
    Q_UNUSED(e)
    QStyleOption opt;
    opt.init(this); // tried initFrom too, same result=>not working
    QPainter p(this);
    style()->drawPrimitive(QStyle::PE_Widget, &opt, &p, this);
}
main.cpp:
#include "mainwindow.h"
#include <QApplication>
int main(int argc, char *argv[])
{
    QApplication a(argc, argv);
    a.setStyleSheet("MyWidget { background-color: red; }");
    MainWindow w;
    w.show();
    return a.exec();
}