The Styles are not copyright free. However, you are free to use them to create music, which YOU can copyright, which incorporates and utilizes the styles owned by the keyboard manufacturer. In effect, the keyboard manufacturer is licensing you to use their styles for your song creations. That is the position of the keyboard manufacturers. I know. I discussed this with Yamaha's top lawyers, both in-house counsel and their "Big L.A. Law Firm" outside counsel. As I'm an attorney I'm sure I understood what they were saying. In our dispute involving the PSR Styles Group, which I moderate, we had discussed this extensively. I did not agree with this position, but we came to an agreement which did not require litigation, to the mutual satisfaction of all sides.
In short, feel free to use the styles for making YOUR songs, but don't try to sell these styles to another keyboard manufacturer, or put them up for sale on the net.
Bob, Esq.