I replicated this bug on my system, Axure RP9 9.0.0.3701 on Win10. So, I’d recommend submitting this bug to support@axure.com .
However, in my case a checkbox with a focused style does actually work–but not correctly. When the checkbox is selected (checked on) it does not appear checked until it loses focus, but when unselected (checked off) the change is shown (checkmark disappears) immediately as it should. It turns out the checkbox selection state immediately changes when clicked, so the bug is that when only a focused style is set, the checkmark of a selected checkbox is not shown until that widget loses focus.
I discovered two solutions for this. Either seems to be an easy workaround for now:
Assign a selected style as well as a focused style (the selected style can even match the default style.)
Add a “Set Focus” action to the Selected event to change the focus to another widget.