Why is small tag not allowed in Style option?

Style is designed to add a class to some tag: <some-tag class="some-class">.

It's not designed to generate new tags.

Does that answer your question? :)

Automatically closed - issue fixed for 2 weeks with no activity.

I just released https://www.drupal.org/project/ckeditor_small_tag → for this use case.

Thank you @wim-leers and @gaëlg !