If you cannot find it there then in Style play mode select any Style and from the top right hand drop down menu select save in the pop up window you will see the Direct box unchecked, check it and continue the save process.
You should not have lost anything, if you saved data with the direct box unchecked then your Pa has saved the data to its memory rather than to the Direct folder on your usb stick.
ID the Style/Song then save it to Direct then if it tests out OK delete the one in the internal memory, repeat for all other entries.
Once you get yourself back on song, so to speak, then perform a SaveAll.
It is a good routine to get into is to perform a SaveAll just before you shutdown the Pa after creating new entries in user data / registrations etc