When you click on each style, you should se a new small window with LOADING STYLE PLEASE WAIT (or something like that).
This is because they are not changed to PA800 format. You can easily change this (will take maybe 10 minutes) to load each individual style and save it again on the same position.
This may seem strange, but when you resave the style (without changing anything so don't worry) it will be changed to a PA800 style.
This means after this procedure your PA800 will load them much more faster.
Also, please make sure any GLOBAL and SONGBOOK sub-folders in your Pa1x .SET file are deleted. If you load the .SET file and it contains GLOBAL and SONGBOOK folders it will crash your Pa800. Safest thing with .SET files is never to load them in entirety, instead use OPEN and find just the files you want.