My answers:
1. No intermediary step. Just load the old style and it should play.
2. The Style Converter software fills in a "template" which packages MIDI data so that your keyboard will understand it as a style (with fills and variations directly accessible using the buttons, etc.)
The idea isn't to convert older styles or other brands' styles (although you might be able to do that.) I think the idea was to convert MIDI song data to a style. It isn't well-developed or especially useful, IMO. My $.02, you might get more opinions / feedback on the other site i mentioned.
Thanks a lot Ted. I can play the styles directly from the USB drive. Btw, does BK-5 have internal storage to store additional styles?
I found the USB drive got hot after a while (typical problem with Sandisk USB drive with metal case), that's why I was thinking, it would be great if I can copy them over to the keyboard.