This is expected as the Deserialization is part of the Shape recreation and the logic there is executed before the styles are applied. In this scenario the style setters won't be respected.
To fix/workaround this you can handle the Shape(Connection)Serialized event and set the value of the properties that should not be deserialized to null e.g.

        For instance:
        void diagram_ConnectionSerialized(object sender, Telerik.Windows.Controls.Diagrams.ConnectionSerializationRoutedEventArgs e)
        {
            e.SerializationInfo["SourceCapType"] = null;
            e.SerializationInfo["TargetCapType"] = null;
        }