If you're looking at a raw file, then the "picture style setting" is merely a setting recorded with the image, but not yet applied to it. When you convert from raw to an actual image, the settings you've chosen are applied -- so if you choose "sharpness = 3", that will happen only after the image is actually converted to a jpeg. If you choose "white balance = cloudy", same thing.
When you say that "the sharpness setting there defaults to the same", do you mean that in each of the three images, the sharpness setting was set to 0, 3, or 6 (as you shot it)? If so, that's the correct behavior. However, you can still change those numbers in Camera Raw if you decide you want something different.
If you shoot straight to jpegs, then the settings are applied in camera and can't be undone.
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