Delphi VCL Style for one Form

Question

I´m trying to create a preview form for the selected style like this:

procedure TConfigForm.btnStylePreviewClick(Sender: TObject);
begin
  var frmStylePreview := TFrmStylePreview.Create(self);
  try
    frmStylePreview.StyleName := cbStyle.Text;
    frmStylePreview.ShowModal();
  finally
    frmStylePreview.Free;
  end;
end;

This works fine, but only if my current VCL style is not set to "Windows" (native Windows components). But the Styles are still enabled. Is there a workaround for this problem? And why is this behaviour like this? Thanks!