I've added a desktop style from arcgis online and now it's sitting in Documents\ArcGIS\OnlineStyles because that's where it went by default.
How do I change the default download location for this?
yes
They are stored in your user profile at [drive]:\Users\[your_name]\Documents\ArcGIS\OnlineStyles.
Add styles to a project—ArcGIS Pro | Documentation
I don't see anything in the Project backstage