OK... So I tried doing another method to create the new style with a picture symbol. See if this works for you:
1. Open a project.
2. Insert a layout.
3. Insert a north arrow (it doesn't matter which one).
4. Right-click on the north arrow graphic in the layout and choose "Properties".
5. In the "Properties" window, click on the north arrow symbol (see pic below)

6. In the North Arrow point symbol window, click on the "layers" icon then the "Shape marker" drop-down and choose "Picture marker" and then click on "File" and browse to the north arrow graphic you saved on your PC, select it and then click "Apply" (see pic below)

7. To save it as a style for later use, right-click on the North Arrow in the layout list by drawing order pane to the left and then choose "Save to Style" (see pic below)

Amanda Bishop, GISP