Can I mix and dynamically change the style of Locomotion during simulation?

This answer applies if you want to dynamically switch between different style of Locomotion on the same character (e.g neutral, attack, defense for a soldier... or walk, trot, galop for a horse). If you want to get diversity by applying different styles among characters without dynamical switch, see the animation diversity question on this page.

Even if your styles apply to different speed/orientation, it is never a good idea to mix them in the same Locomotion Behavior. If the character happens to be in an in-between situation it will blend back and forth between different styles which could result in the soldier frantically switching between walk and run or the horse blending trot and galop motions with an odd result.

Locomotion mixing motions from different styles, resulting in odd jumps

Instead you should create a separate Locomotion Behavior for each style, and switch between them using triggers (in the below example the trigger is based on current frame, but it could be linked  to the velocity of your character or whatever...)

Switching between 2 Locomotion Behaviors using triggers

Result of the above setup, playing styles one after another