I wouldnt necessarily say that some styles are more effective. Remember, Traditional TKD or what became later TKD, was used on the battlefield in Korea when Japan invaded. But now there are many more sport schools. They don't claim to be anything else usually, thats a picture painted by the less informed. But theres still Traditional TKD guys who are doing a lot of full contact SD work. But still, many people who only see sport TKD will assume its useless.
Styles came to existence because of different needs, methodologies, situations, body styles, purpose, and many other reasons. Theres never really been one central most effective style or system in hundreds of years. In terms of SD or even sport, multiple styles gives you more options in finding what works best for your personally.
Even then, many martial arts are combinations of or piggybacked into creation off of other martial arts. Essentially, ever cross training martial artist develops their own method.
In the earliest days of UFC and Kickboxing, There wasnt one dominant striking style. BJJ did far better back then because nobody knew what it was. Now people are familiar and know how to defend against the common BJJ moves you see and its even.
The focus of your school makes a difference moreso than a style, but the ability to apply whatever knowledge and skills youve learned falls on you.