I am having a similar issue. when using the html editor, I to to styles, select my stylesheet, and then choose a handfull of styles to have access to, it seems to work. However, when I look in the corresponding .js file in the custom folder, it does list the style sheet correctly.
FCKConfig.EditorAreaCSS = '../../../style.css'; // relative to fckeditor/editor/fckeditor.html
but there is no link to the xml file, and it does not create the xml file in the custom folder.
FCKConfig.StylesXmlPath = ''; // relative to fckeditor/editor/fckeditor.html
But, if I choose to save it as a preset, it works as expected.
Also, was there any discussion about addint the ability to choose only server side validation, and not spry validation?