For style templates you should just define a css class not attached to an element like .blue{} rather than h1.blue{}
Any style templates you create should immediately show up in the dropdown, but there is a difference in the way it works in TinyMCE vs FCKeditor. When creating a style template we specify an element, FCK uses this but TinyMCE does not it only uses the class name. FCKEditor will in some cases wrap the selected content in the element say if the element is defined as span and you select some text it will wrap it in a span and assign the class. In other cases FCK will filter the templates according to the element so if you create a style template with the img element FCK will only apply it if you select an img in the editor.
Tiny MCE doesn't use the element we define at all. I think if you first create the text, select it, choose heading1 from the format dropdown then select your style template it should apply the class to the h1. If you just select text and apply the style I think it just wraps a p around the text and applies the class.
One thing to be aware of is the site heading is h1 the module title is h2 so really inside the content you should start with h3 to structure it ideally.
Note that changes you make to your user.config are not detected automatically by the runtime like changes to Web.config are, so if you make a change to user.config you must touch web.config to make it reload config settings.
Hope it helps,
Joe