Hi!I have just experience what it seems to be a bug (LyX 1.4.2 on Windows XP; small installer)
I have selected the paragraph style and written a title. At the beginning of the following line I have inserted a Greyed out note. In the resulting DVI it is not only the note in grey, but also the paragraph's title.
I guess the problem affects all styles that do not use the begin-end construct (i.e. there is no problem with section, description, etc).
Cheers, Nicolás