Picture styles do serve one or two purposes even when shooting RAW.... they just aren't the "final word" on how your images will appear... in other words you can still change your mind. (There's a lot less room to change your mind with JPEGs, because so much data is thrown away during the in camera conversion).
Here's what Picture Styles do when shooting RAW:
1. The chosen Picture Style will dictate how the review image will appear on the camera's LCD. This isn't a huge deal, since the review image itself is of somewhat limited use (the histogram is far more informative). However, you can tweak the Picture Style if you wish, to change how the image appears on the LCD a bit.
This is because in order to display any review image on the LCD, the camera has to produce a small JPEG "thumbnail" and it uses the chosen and/or tweaked Picture Style as a guide how to do so.
2. If you use Canon DPP to convert your RAW files, it will first try to use the "tags" that the chosen Picture Style has applied to the file, so the preview will will reflect those settings. You have the option to change any of the settings, though, before making the conversion. And, so long as you archive your RAW files, you can always change your mind later and go back and convert the file differently.
Yes. There is an argument for going ahead and doing in camera JPEGs as a learning tool. That forces you to be more careful setting the camera. However, the same can be said for shooting RAW and doing conversions later. On your larger computer monitor you can see what's going on a lot more clearly and accurately, than you can in camera.
Of course, you could always shoot RAW + JPEG, so long as you have enough memory cards. I normally just shoot RAW, although it makes for a lot more post-processing. But, when we are printing on site I'll shoot RAW + JPEG so our printing folks don't have to spend their time doing conversions. I think you'd find most news and sports photogs are shooting JPEG or RAW + JPEG, too, in order to meet deadlines.