I frequently change styles without losing the chords of the song, so I suspect some additional action may have been taken.
I am guessing either OP opened a song with embedded chords, thinking it's a style, or loaded another style demo on top of custom chords. Can't use Undo in both cases.
In another thread, King Conga mentioned he may have accidentally used the Songpicker instead of the Stylepicker, so you both may be right that other or additional actions were taken. Opening a song can't be undone in any program that I'm aware of. If we're misunderstanding, King Cobra would you kindly provide your best recollection of the sequence of events that you wanted to undo, and I'll see if I can replicate the issue or offer any guidance.
There is an undo for an individual chord but not for anything else, at least to my knowledge.
If you put an undo for styles in the wishlist forum you will get a +1 from me.
There are lots of things that can be undone - adding a RealTrack, generating, deleting bars, etc. Most things in BB can in fact be undone. One of the few exceptions is loading a style, which to my knowledge is a longstanding request. I'll add a note to that request, referencing this forum thread (and the other one King Cobra started in the wishlist).