On the SX Models, only the factory styles can be put into *Favourites by holding the style button down on the touch screen for a few seconds. As well as putting it into Favourites(accessed by pressing the *Favourites star at the top of the touchscreen) it also marks the style with a Yellow bar.
Non factory styles cannot be marked in this way, and are dealt with as Bill advises.
Is that where you got confused maybe?