I did have a problem with this, but only because I was adding the styles to the HTML Editor which was in a sub-directory (PowerCMS). The styles (classes) that I added showed up in the 'Styling' tab but weren't available when I transferred the HTMLEditor/custom insert/update files (2 x .js & 2 x .xml) and the pages that contained the HTMLEditor instances.
That was because the HTMLEditor GUI was creating/updating the 'custom' .js & .xml files in a new folder in the root directory.
To be on the safe and certain side, I duplicated my site definition and set the root local and testing sites to be my CMS folder. I re-did the HTML Ed Styling tab > locate my css file again and it updated the right files. I did have to do this for all instances of HTML Editor though.
Check that the .js file(s) in your HTMLEditor/custom folder have had the link to your stylesheet added, i.e:
FCKConfig.EditorAreaCSS = '../../css/yourstylesheet.css'; // relative to fckeditor/editor/fckeditor.html
Check that the classes have been written to your HTMLEditor/custom folder xml file(s) like:
<?xml version="1.0" encoding="utf-8" ?>
<Style name="headerbar" element="span" >
<Attribute name="class" value="headerbar" />
<Style name="sidebardk" element="span" >
<Attribute name="class" value="sidebardk" />
<Style name="sidebarlt" element="span" >
<Attribute name="class" value="sidebarlt" />