Do the other styles work?
It may be a limitation in styles and UL elements. Are you using the latest version of CKEditor? I found this in a google search:
https://ckeditor.com/old/forums/CKEditor-3.x/Add-Style-Unordered-List
The full documentation on editing styles is here:
https://ckeditor.com/docs/ckeditor4/latest/guide/dev_howtos_styles.html
If you send me a url and ftp access to your site then I could take a look and see what I can find.