Ok...I'm going to confuse you even more.
The sensor only records in monochrome. Notice I use the term monochrome and not B&W because what each Pixel on the sensor captures is only a grayscale of each channel. In other words each Pixel has a R,G or B filter over it so the resulting data from the Pixel is just a grayscale version of Red or Green or Blue. (Some Fujis do this differently).
Processing it either as a JPEG or with ACR converts the grayscale channels back to colour channels. Then each Pixel becomes Red or Green or Blue - then the processing has to make each Pixel contain a mixture of Red, Green and Blue, so the camera or ACR looks at the Pixel neighbours and interpolates some of the other colours from them.
Those Picture Styles in your camera are only 'tag's and depend on the processing S\W to understand them and process accordingly. Photoshop doesn't know anything about them so you always get the plain vanilla image.
Bet you wish you hadn't asked now
Colin