In the "Create Feature Lines" dialog box we can uncheck the "Style" check box (see image). The feature line will now be place on the layer specified but will not have a style applied to it. Thus, we will not be able to apply a different style to it. It will take on the color of the layer. Although we can assign color directly to it from the properties toolbar.
All of this, though typical of AutoCAD, is very unusual for Civil 3D.