First modify the Style you want to use in a song to include all the Keyboard Sets etc that you want to use then save that Style to a User Bank and to Songbook.
This is your backup.
Next, with the above modified Style loaded press and hold the My Settings button for at least three seconds, pressing this button at any time restores the chosen setup.
If I have interpreted your question correctly the requirement down to the Mode that the Style To Keyboard Set button is in, i.e. off, flashing or steady on.
Can you take a look at the video Korg UK’s Luke has produced then try it out on your Pa and let us know if it is indeed what you are hoping to achieve.