Don't Style Sets differ from Styles? Style Sets comprise different Styles (Headings, subheadings, regular text, …).
Pls see the emboldened phrase beneath. Why aren't Style Sets saved with a document?
What are Style Sets' advantages over Styles? I don't understand Allen Wyatt's dislike of Style Sets - is he correct?
Word does allow you to create custom Style Sets by modifying existing Style Sets and then saving your modifications under a new name. Since the Style Set you create is not saved with a document, that custom Style Set will not be available as an option if you move the document to a different computer. Again, it is only for convenience in specifying what styles should appear in the Styles gallery on a single computer.
If you want to take advantage of styles fully, use the Styles task pane and save your custom styles in a template that can be moved to other computer systems, if desired.