The audio styles go to a protected sort of FlashROM section (like where your OS is) so don't get backed up.

From what we have heard so far, each new Audio Style Pak will have to be loaded up similar to doing an OS update... loaded slowly into the FlashROM, and then the arranger needs a reboot. This seems to indicate that mixing and matching, or calling new ones up on the fly will be impossible.

Essentially, you will have a certain amount of the FlashROM available for the audio styles (it's currently full with the styles in it now) and you will have to erase some styles to make room for new ones. Let's just hope Yamaha haven't forgotten to let us decide which we keep and which we erase, but given how rushed out the door these features are, don't bet against it being an all or nothing approach!