« Formats » dropdown button is only available in Classic Editor and in post types with no support for block editor (such as WooCommerce products as of July 2019). All of « Formats » dropdown styles are available in block editor by default.
Text styles
Dropcap text. Apply this format on a text paragraph. Lorem ipsum dolor sit amet, consectetuer adipiscing elit, sed diam nonummy nibh euismod tincidunt ut laoreet dolore magna aliquam erat voltu.
H3 with Heading 1 style
Uppercase text. Duis autem vel eum iriure dolor in hendrerit in vulputate velit esse.
Paragraph with Heading 2 style
Ut wisi enim ad minim veniam, highlighted text (marker) here, quis nostrud exerci tation ullamcorper, small text here, suscipit lobortis nisl ut aliquip ex ea commodo consequat, superscript, subscript.
Paragraph with Heading 3 style
Heading style texts can be used to force heading 1-3 display style on a different element, such as paragraph or any of HTML heading tags. Thus allows keeping the semantic markup, but styling it a bit differently.