If you're using the auto accompaniment, the style should continue to play with the specified chord after you lift your finger(s).
But if you're using the "stop accompaniment," which plays a chord in the Split Voice without using the style, I think the chord will play only as long as you've got a key pressed in the accompaniment zone-- that is, to the left of the Split Point. I don't think there's a way to keep the chord playing after you lift your finger(s).