I wondered because in the latest build of DPP, the Picture Style list for an image now shows a camera symbol in front of the style that was set in camera.
Canon DPP likely respects any settings you made on the camera but they are just starting suggestions.
Commonly used EXIF settings: exposure, WB (which is more than just color temperature) are respected by every other raw converter I have used. "Picture Style" settings generally are not as they are in a manufacturer's proprietary data forks. This includes any sharpening and color space settings.
Your "Picture Style", sharpening, and color space settings affect not just the look of the image on the camera's preview screen but also the data used to build the in camera histogram.