When applying a Smart Style item, a message sometimes appears:
"You cannot reverse this change with the Edit > Undo command. Do you want to continue anyway?"
The reason that InDesign sometimes shows this message is that in some circumstances it needs to do a lot of processing in order to apply a specific style. Because the undo capacity of InDesign is not infinite, InDesign warns you that the action you want to apply cannot be undone.
Note: This message is not specific to Smart Styles, but can also appear for instance when copying many pages in InDesign.
Simply click OK to continue and apply the style.