Hi Nick,
no, they have to be loaded. There's a huge number of Favourite & User slots to load styles into, plus you can overwrite Factory styles, ( though it's not something I'd do personally).
I've got my favourite styles saved under Favourites, the User slots I keep free for styles I want to audition & edit, then I save them into favourites.

I've got all my spare styles saved into banks of catergories ie bank of swing , a bank of waltzes etc etc . If I can't find an onboard style , I just load in one of the banks into User, go thru them, if I need to edit , Ido, then I save it to Favourite.

Doesn't take all that long to load a bank.

I'm guessing ,but maybe they can't be played from USB stick because of the sampler. Quite a number of people load & use samples as part of their styles, me included. I mainly use mine for Drum Sets.
Currently I'm converting some of my old Ketron SD1 styles across to my Korg. They really don't work without "Live Drums". Fortunately I've been able to buy some sd2 soundfonts including Live Drum sets. Now I just need to convert them to wav, load them into my Korg & I'm set, instant Live Drums. Not as good as the original, but certainly not. bad.