So James would be addressed as Lord Wessex.
The use of the conjunctive adverb here is incorrect; while the younger sons of dukes and marquesses are, indeed, styled 'Lord', James is not the younger son of a duke or marquess: he is the eldest/only son of a duke. It is for this reason that he bears the courtesy title Earl of Wessex and is referred to as 'Lord Wessex' in conversation. If he had a younger brother, that brother would be styled "Lord Forename Mountbatten-Windsor", in the instance that the higher princely and royal title and style is not used.
Just curious if a courtesy title comes with a style?
Courtesy titles are actually styles in and of themselves but, no, it doesn't go further: while a substantive earl is styled 'The Right Honourable' an earl by courtesy is not.
Thank you Charles for your explanations.
I have been avoiding the term "style" because I have never been truly understanding of exactly what it was. Theses exchanges are helping.
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