Postgres 10

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CREATE TABLE mytable (key text, value text) ;
INSERT INTO mytable VALUES
('style_selection_color', 'A'),	
('style_selection_weight', 'B'),	
('style_line_color', 'C'),	
('style_line_weight', 'D');	
4 rows affected

CREATE AGGREGATE jsonb_set_agg(p text[], z jsonb, b boolean)
( sfunc = jsonb_set
, stype = jsonb
, initcond = '{}'
)
WITH list AS
( SELECT i.id
       , max(i.id) OVER (PARTITION BY t.key) AS id_max
       , p.path[1 : i.id] AS jsonpath
       , to_jsonb(t.value) AS value
   FROM mytable AS t
  CROSS JOIN LATERAL string_to_array(t.key, '_') AS p(path)
  CROSS JOIN LATERAL generate_series(1, array_length(p.path, 1)) AS i(id)
)
SELECT jsonb_set_agg( l.jsonpath
                    , CASE 
                        WHEN l.id = l.id_max THEN l.value
                        ELSE '{}' :: jsonb
                      END
                    , true 
                    ORDER BY l.id
                    )
  FROM list AS l


jsonb_set_agg


{"style": {"line": {"color": "C", "weight": "D"}, "selection": {"color": "A", "weight": "B"}}}