Maybe this guide will help you? It specifically mentions formatting using paragraph styles. But it's a tad older.
There's an Endnote FAQ entry that also deals with this topic, at least in some way:
I have changed my output style from the EndNote program, but the style in my paper keeps reverting to Annotated or some other style I did not choose. How can I correct this?
The solution apparently is:
Go to the "Edit" Menu and choose "EndNote Citations> Bibliographic format." Select the style directly from this menu.
To use a style not on the menu, quit Pages and go to EndNote X2 or later program.
In EndNote, go to the Edit Menu and choose "Output Styles > Open Style Manager."
Here, simply place a check in the "Favorites" box in front of the desired Style.
To use the style in Pages 09, close both Pages and EndNote and then open them to see the style in Pages.
Let me know if that works out.