Okay, I did some experimenting with my PSR-E433, which should work similarly to your E443 as far as USB functions go.
When you held down the FUNCTION button, did you have a flash drive plugged into the USB slot? Because I found that on my keyboard, if no flash drive is installed, then I only get the options of Load STY and Exit after I hold down the FUNCTION button. Once I insert the flash drive and give it several seconds to recognize it (the USB symbol stops blinking on the display and shows steadily on), then I can access the other functions, such as to save and load USR files. I don't know if it matters or not, but I always try to make sure that the keyboard is NOT in the file-handling mode when I insert or remove a flash drive. After it recognizes the flash drive, then that is when I enter the file-handling mode by holding down the FUNCTION button.
And of course, when you are attempting to select different USB/flash drive functions, make sure you use the Category (+) and (-) buttons, not the (+) and (-) buttons at the numeric keypad.
Another possibility could be the way you are powering the keyboard. The USB file-handing functions may not work if you are running the keyboard on batteries, so if you are running it on batteries, then you may want to try using a compatible AC adapter to power the keyboard. However, the manual for my keyboard says that there would be an error message if the batteries could not supply enough power for file-handling functions -- so, I would think that if you are not getting the error message, then you should be okay, but using a compatible AC adapter would still be something you might want to try.
If you have a flash drive plugged into your keyboard's USB slot and you're using a compatible AC adapter, and you still only get the Load STY function, then I'm not sure what could be wrong. I would guess maybe one of the following:
1. The flash drive is loose or not plugged in all the way
2. The flash drive is defective
3. The flash drive needs to be formatted (just remember that, if you format the flash drive, it will erase everything stored on it)
4. A defect in the keyboard
If you get it all working, keep in mind that (if your keyboard works like mine), there is no function to save just the registrations to the flash drive. You would use the Save USR function to save a User file, which includes all of your registrations, your multi-track recorded songs, and any styles you loaded into the keyboard's user style slots. Accordingly, remember that if you do save such a User file on to a flash drive, then later load that User file back into the keyboard, you will lose any registrations, recorded songs, and styles that were already on the keyboard and they will be replaced by what you are loading from the flash drive.
Let us know of your progress and if you have any more questions.