Hi:
When you say you are using "ods tagsets", that implies you are using ODS TAGSETS.EXCELXP?? Since you are running SAS 9.4, is ODS EXCEL an option? I do not believe a STYLE template will help you here. For example, in a STYLE template, all the column headers would be defined to be the SAME color, while in your screen shot, you show 4 of the column headers in blue and 3 in gray for the background. A STYLE template doesn't care about your data and your column headers, it would normally color the background of ALL the headers the same.
If you want to alter the style of what you create to match what you are pasting into, then using style overrides in PROC REPORT, PROC PRINT or PROC TABULATE would be a better option.
Cynthia