Changes in styles and set list

[helenp]

Hello,
I like to use the styles but seems like you can't change the instruments in the set list in the style performance to use this to jump between the sets while you are playing.
I managed to do this saving each different style setting in the bank set lists.
However when I was to record while playing to the usb, it looks like it is not possible to change bank set list during the recording.
Is there a way this can be done?
Thanks in advance