Hi jcm2016,
When playing a MIDI file normally, it doesn't matter which style is set, because the style is not running. That means you always only hear the (up to) 16 channels of the MIDI file. As mentioned, some MIDI files can contain Style Control commands.
If a preset style was used when the MIDI file was originally recorded, this style will be automatically set again when the MIDI file is played back. If the MIDI file is played back on another keyboard and the original style is not present there, a different ("similar") style may be set.
If a User Style was used in the original recording, it will NOT be set automatically when the MIDI file is played back, even if it were present on the keyboard (in the User drive or on the USB stick).
As already mentioned: Just ignore the lit Style Control buttons and the eventual automatic setting of another Style, OR remove the Style Control SysEx with PSRUTI as described above. The best thing is to do also an "XG Optimization" in PSRUTI to get a clean XG MIDI file. (Click the "Help" button in PSRUTI to view the manual.)
Best regards,
Chris