You can set styles by instance, class and globally.
For selectable lists(List,ComboBox,TileList,etc.), you need to use setRendererStyle instead of setStyle, because you're setting styles for each cell renderer/item, not the list itself, if that makes sense:
list.setRendererStyle('textFormat',myFormat);
Also you can use global styles using StyleManager.
Make sure your fonts is embedded first, then try
import fl.managers.StyleManager;
var myFormat:TextFormat = new TextFormat(config.settings["list font name"],config.settings["list font size"]);
StyleManager.setStyle('embedFonts',true);
StyleManager.setStyle('textFormat',myFormat);