I was trying to do a similar thing this week but couldn’t manage it using the USB midi.
I ended up using an old Emu midix cable I had lying around and connecting midi out and keyboard midi in on SD40 to USB on PC.
After some head scratching and trial and error I was able to create a chord track in Cubase that played any style chosen on the SD40. Although to keep everything in sync I did have to make sure the Style Tempo matched the Cubase Tempo.
If you need full details of how I set everything up send me a PM.