New theory... when you select the style it automatically applies a One-touch memory. And the One-touch memory has its own set of MFX settings? Is there a way you can use "Performance Hold" or set up some kind of lock in the Global menu so MFX doesn't change when you select a new style?
It could also be a software bug. Perhaps when you load a style that wasn't natively created by Roland on the BK-9, it is accidentally writing to a memory area that controls MFX?
I admit, I don't understand MFX very well, and I really haven't dug too deeply into the BK-9 since I got mine.