I will try explain you how I understand this, been testing this not long ago on my Pa600.
In Pa3x User Manual on Page 204 Global edit mode/ General Controls: Lock you find all info.
When You assign FXs in Sound Mode and Save it Sound, your effects still there, but when you switch to Style Play same sound most likely going to have different FXs, because FXs in Style Play Mode is a part of Style, exactly is is part of STS or Performance, means your setting from Sound Mode is overwritten.
In Global Mode/ General Controls/ Lock/ FX & Voice P. you find
Upper 1 FX, if is unlocked and you assign your modified Sound to Upper 1 is going to take over STS FXs and switch to ones you got with this Sound.
Is only way I know your modified sounds FXs be showing in Style Play mode.
FXs set is same for all sounds in STS or Performance, so you may need adjust send FX to other Uppers and Lower.
I hope this make sense for you.
here is what manual say:
Pa3x User Manual on Page 204 wrote:Upper 1 FXs
In Sound mode, you can assign a Sound to the FX
B Group. When you assign a new Sound to the
Upper 1 track, the FX B settings and Master FX
send levels saved with that Sound can be automatically
selected, overriding Performance/STS
settings for this track. Whether Sound or Performance/
STS effect parameters will be considered,
it depends on the status of this lock.
• If the Upper 1 FX Lock is turned on, when
assigning a new Sound to the Upper 1 track, Performance/
STS parameters are left untouched;
selected effects, and FX Send values, are not
changed.
• If the Upper 1 FX Lock is turned off, when
assigning a new Sound to the Upper 1 track,
Sound parameters are considered; selected
effects, and FX Send values, are changed according
to the Sound’s stored data.
Note: If effects associated to the selected Sound are
not compatible with effects already assigned to the
FX B block, the Master FX Send values on the other
Keyboard tracks will be automatically set to zero.
For example, assume a chorus effect is assigned to
the Master 2 FX processor. If the new Sound
assigns a distortion effect to the Master 2 FX processor,
the Master 2 FX Send value on the Upper 2,
Upper 3, and Lower tracks will be set to zero, to
avoid these tracks sound in the wrong way. This
way, the Upper 1 track (usually the most important
one for solo playing) will sound with the needed
effect, while the other Keyboard tracks will just
sound dry.