What is the format of the Styles that you bought?
(1) With you talking about Setlists I am presuming that you bought them in Songbook format ie the same as Osimo.
(2) If you created the Setlist it is a quirk of the system in so far as you have to save it, this action is very easily missed as the system appears to have created the new Setlist but it is only resident in volatile memory, it needs saving. I think that your system actually may have a corrupt database
If I am correct in my assumptions then proceed as follows
If (1)
Restore your Pa using the Backup, file then load the SaveAll file. This will put your Pa back to the state it was in before you loaded the bought Styles.
Then check if your Direct folder is still checked and operating.
Then reload the Styles from your USB memory Stick.
All should now function OK.
If (2)
Create your Setlist again and then save it.
NOTE
For readers unfamiliar with Korg’s Pa Arranger keyboards. The Pa series requires basically that two backup files are created in case of need.
The Backup file is as the name suggests a file that is used to restore the keyboard back to a fully functional state less User saved content.
The second file that an owner creates is a Save All file and this has all the User custom settings and data contained within it and this file requires loading after every run of a Backup routine and after every OS update.
It is good practice to create both these files before any changes are made to the keyboard. After changes are made it is again good practice to perform a Save All file creation routine before the keyboard is switched off.