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The "First Page" page style is designed for the singular first page of a work. While it can be used for the leading page of chapters I would recommend using a custom "First Page chapter" (or similar) page style instead. This is a good habit to get into because the very first page of a work is often unique in terms of layout, while leading chapter pages usually use a layout that repeats (for each chapter).

Page styles are generally not employed by double clicking on them. The usual method is Insert > Manual Break... > and then selecting the style of the following page. Where content needs to flow from one page style to another the two page styles in question need to be linked by modifying the definition of the leading page style e.g., right-click on the page style entry > Modify... > Organizer tab > set the Next Style to the page style that is required to follow. These two methods allow for greater control over were employed page styles commence and end.