I have noticed a problem with my idea of programmatically applying styles in a StyledTextCtrl relating to the Undo/Redo functionality. The built-in Undo/Redo does not appear to track changes of styles. Presumably this is because it expects the lexer to take care of it. I had not noticed this before because all of my previous use of the technique involved the display of progress/logging information that was read-only and not user editable.
So, for my current project I have gone back to trying to use a RichTextCtrl instead of a StyledTextCtrl. Of course that still leaves the problem of the waved underline not working on GTK, as described here.