As stated by another user in this thread: https://communities.bentley.com/products/microstation/f/microstation-forum/172878/update-display-rule-from-library/498364

It makes absolutely no sense that the Display Rule library doesn't behave in the same way as other dgnlibs, when it comes to updating them in the design file.

Suggested workaround has drawbacks (resetting to "none" in the referring display styles).