If anyone is facing this same issue, the fix is actually pretty simple.
At this moment of writing, inside the XlsReport module, there is the microflow ‘IVK_TemplateSaveAndNext’ where a new CellStyle is created.
Add that Create to your custom microflow and associate it to your new MxTemplate.
All Cellstyles used in your sheets and columns should also be associated to your Template. Keep it simple and create one single style and use it for your Template, Sheet and Column. Just pass it as a parameter.