An embedded stylesheet is considered a stylesheet which exists embedded in the (x)html document which it is associated with. Stylesheets can also be considered external stylesheets, in which the stylesheet exists as a seperate file from the (x)html document in which it's used.
Both types of stylesheets have their advantages and disadvantages. Embedded stylesheets have the advantage of distribution, in that only one file need be distributed, the (x)html document itself. When using external stylesheets, the author must always insure that any external stylesheets that the (x)html document depends on, will be distributed with that document. One disadvantage of embedded stylesheets, is the fact that the stylesheet cannot be used in other (x)html documents other than the one it's embedded in.
In Xport, embedded stylesheets are useful if the stylesheet is only to be used for a single report/document, and if you want don't want the concern of managing multiple files for a single report.