Ray Andrew I have SX700 as well. Just tried it, it seems to load ok. The style itself is missing a bunch of voices since it's Genos2 style, so only drums and a guitar are audible.
Do you have a usb stick inserted into your keyboard while you are transferring style via a cable from this site? It might end up on the USB stick if it's inserted, either in the root folder or under STYLES if you have it.