So time to review. I spoke with tech support and it got sent up to e-mail support.
I'm not exactly sure what I did, but here's the results so far. I created a new file of 'On Green Dolphin Street' from new. I used two styles, a jazz style and a Bossa Nova style.

1. Saving the song as a .sgu and then opening the file in Cakewalk with the BIAB VST recognizes the part markers, but only as ‘a’ and ‘b’, NOT ‘c’ and ‘d.’ However, and I don’t know what happened, I now can use the bar settings and change the styles to the appropriate style, i.e., the ‘c’ and ‘d’ parts from the original .sgu. However, they have the ‘red lined box’ in the ‘a’ and ‘b’ part markers, but the proper style is there.

2. It does not import style changes from the .sgu, you must put them in once it’s in the DAW, in my case, Cakewalk.

3. I had three choruses in my song. For whatever reason, it did not generate anything after bar 36, which is where the repeat started. The VST was quiet and when I moved the wave files over to Cakewalk, they weren’t there. So, no generation of the song for repeat choruses.
a. Using the ‘K’ shortcut or the Copy and Paste functions did not copy the part markers or the style changes.

So, I CAN get the styles to change now by switching them in the VST Plug-in, but I must go in and change each one manually. There are no 'c' or 'd' indicators and no ability to click through the available styles. To get them, I must open the Bar Settings dialog and manually change the style at that bar.

It does not seem to generate anything for multiple choruses, after the first chorus. I closed Cakewalk and restarted it. The same is true in Reaper. Also, if I decided to copy and paste, the part markers and style changes do not copy or paste.

I'm blessed watching God do what He does best. I've had a few rough years, and I'm still not back to where I want to be, but I'm on the way and things are looking far better now than what they were!