Kentico does not automatically add any stylesheets without some sort of user intervention. If there are physical .css files in the app_themes directory, by default IIS will add them if it is the theme you're using. Kentico will only place a stylesheet in the master page if you select a default stylesheet for the site.
The way to get around this is to place all your stylesheets in the database under different code names, then place them in order using a HEAD HTML webpart.