Couldn't agree more! This feature should be standard no doubt about that.
I'm currently fishing around here trying to find a post to give a step by step on how to add styles to the styles drop down so if you find one that is strait forward please let me know.
Ahh sorry just found out you need another Web Assist extension to add functionality to the style drop down.... "HTML Editor" if you have that then you can make custom changes and link that menu to a css file... or so someone has mentioned in a post. I haven't tried this yet. Will let you know if I have any joy.