Hi Arthaher,
you actually have to load  either a single style or a .set of styles ( a style .set can have up to 32 styles) into a user area of the keyboard.  The PA800 has a "Favourites" as well as User style slots  for loading your own styles 
The PA500 can load user styles, but I think it only has the "User" slots area , not the Favourites. Double check that yourself as I own a PA800 not a PA500.
best wishes
Rikki 
Originally posted by Artaher:
Rikki, thinking about PA800/500... I would like to know if are true these specs of them:
1. You can't listen or play styles from usbdrive or card directly (as you may in roland or yamahas). First, you must load external styles into the user area of keyboard, and then you may play them. If so, it is a bad thing if you want to listen a lot of styles to see if you love or not them.
2. You can't load a only style (as you may in rolands or yamahas), but a set of styles(which have commun drums,,,). 
Thanks