BUG: Styler.set_table_styles does not apply to Styler.to_excel
- [x] I have checked that this issue has not already been reported.

- [x] I have confirmed this bug exists on the latest version of pandas.

- [x] (optional) I have confirmed this bug exists on the master branch of pandas.

---

**Note**: Please read [this guide](https://matthewrocklin.com/blog/work/2018/02/28/minimal-bug-reports) detailing how to provide the necessary information for us to reproduce your bug.

#### Code Sample, a copy-pastable example

```python
import pandas as pd
import numpy as np

# Dummy dataframe
df = pd.DataFrame(np.random.rand(15).reshape(5,3), columns='x y z'.split())

# Apply style with `set_table_styles` and `applymap`
style = df.style \
    .set_table_styles([{'selector': 'th', 'props': [('background-color', 'orange')]}]) \
    .applymap(lambda x: 'color: red' if x >.5 else 'color: blue')

# Test with different engines
for eng in ('xlsxwriter', 'openpyxl'):
    style.to_excel(f'tbl_style_tst_{eng}.xlsx', engine=eng)
```

#### Problem description

In both `xlsx` files output above, only the element styling (`applymap`) are observed.  Any `set_table_styles` styling seems to be ignored regardless of engine.  The html from `style.render()` confirms the styling is correct, and is observed in html output as well:

```html
<style  type="text/css" >
    #T_4987f224_a119_11ea_b2cc_48452026764f th {
          background-color: orange;
    }    #T_4987f224_a119_11ea_b2cc_48452026764frow0_col0 {
            color:  red;
            color:  red;
            color:  red;
            color:  red;
            color:  red;
        }    #T_4987f224_a119_11ea_b2cc_48452026764frow0_col1 {
            color:  blue;
            color:  blue;
            color:  blue;
            color:  blue;
            color:  blue;
        } <!-- ...continues ... -->
```

```python
with open(r'pd_css_test.html', 'w') as f:
	f.write(style.render())
```

#### Expected Output

Unable to show excel/colors here, but the columns/index should have colour styling applied as expected from `set_table_styles`.

#### Output of ``pd.show_versions()``

<details>

INSTALLED VERSIONS
------------------
commit           : None
python           : 3.7.4.final.0
python-bits      : 32
OS               : Windows
OS-release       : 10
machine          : AMD64
processor        : Intel64 Family 6 Model 61 Stepping 4, GenuineIntel
byteorder        : little
LC_ALL           : None
LANG             : None
LOCALE           : English_Canada.1252

pandas           : 1.0.3
numpy            : 1.18.4
pytz             : 2020.1
dateutil         : 2.8.1
pip              : 19.2.3
setuptools       : 40.8.0
Cython           : None
pytest           : None
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : 1.2.8
lxml.etree       : 4.5.0
html5lib         : None
pymysql          : None
psycopg2         : None
jinja2           : 2.11.2
IPython          : None
pandas_datareader: None
bs4              : None
bottleneck       : None
fastparquet      : None
gcsfs            : None
lxml.etree       : 4.5.0
matplotlib       : None
numexpr          : None
odfpy            : None
openpyxl         : 3.0.0
pandas_gbq       : None
pyarrow          : None
pytables         : None
pytest           : None
pyxlsb           : None
s3fs             : None
scipy            : None
sqlalchemy       : None
tables           : None
tabulate         : None
xarray           : None
xlrd             : 1.2.0
xlwt             : None
xlsxwriter       : 1.2.8
numba            : None

</details>
