Sorry, I didn't get back yet because I've misplaced all of my USB drives and haven't bought another one yet.
What I found out so far is as follows:
(1) Transpose affects the built-in songs.
(2) Transpose does not affect the styles.
I haven't been able to try transposing a song that's on a USB drive, but it should be easy to test; I just need to buy a new USB drive, or else find where I put my existing baggie of USB drives.
For anyone who wants to test it themselves, here are a couple of things to try:
(1) Transpose down -12 semitones (or down 1 octave) while there is no USB drive inserted. Then insert a USB drive, select a song from the USB drive, and play it back. Make a mental note of how it sounds.
(2) Switch to a built-in song, then remove the USB drive. Transpose up +12 semitones (or up 1 octave) while there is no USB drive inserted. Then insert the USB drive, select the same song as before, and play it back. It should be obvious whether the song is transposed or not, because the new transpose setting will be 2 octaves higher than the previous transpose setting.
(3) If that works, then transpose must affect playback of songs from a USB drive.
(4) Assuming it did not work, repeat the first two steps, but this time insert the USB drive before changing the transpose setting, and leave it inserted while you change the transpose setting. You could even start the playback of the song and then change the transpose setting from -12 to +12 while the song is playing.