Uh... There's a difference between script-formatting and roleplaying, and I'm assuming you mean the former. If you're talking about script-formatting, then I really don't think it matters if the character names are in bold. Most of the plays I've read (mainly modern editions of Shakespeare's works and a few other plays for independent stages) actually have the character names in all capitals, not bold. They also sometimes have the actions in brackets -- [ and ] -- rather than parentheses, though they're still italicized to further separate them from regular text. (Incidentally, yes, I've studied this as well.)
I'm not really sure what you mean by "changing the settings," but in all of the scripts I was referring to before, it's been done in all capitals (for the title of the new act or scene), followed by a paragraph in italics to describe the setting.
Roleplaying, meanwhile, is when you:
1. Actually/Would act out what's going on.
2. Assume the persona of your characters.
3. Write a scene centered around/from the point of view of a certain character or characters for the purpose of having other writers add to the story by interacting with "your" characters.
If there's a different defintion here on PC, I'd like to hear it, though.
Edit: Though, personally, when it comes to fanfiction, I think whether or not something is bold or italicized is rather trivial, just as long as the reader can tell the difference between action and what's being said. (I only say this because no one actually follows conventions for scripts when it comes to fanfiction anyway... if there can be considered "conventions for scripts.")