I think it's harsh to say we have no style of play under Sheehan as it implies the players don't really know what they're doing, that it's all just 'have a slice of orange lads and go out there and scrap, 'Ave it!!', which is, I think, an insult to what we've seen overall since Williams left.
A couple of players - and I think Sheehan as well - have talked about 'transitional football' as the key term for how we've been approaching games since Williams left. Now, transitional football is a term that's been around for ages and is normally thought of as just 'what you do when play breaks down', or it's what happens in between the 2 teams operating their 'styles' against each other, but we seem to be focusing on making that in-between phase be our main focus.
The high press is clearly evident as a way to create transitions and catch teams off guard. We're also countering faster than we used to (not the biggest of wins, I'll grant you...), with players being less constrained in how they approach attacks, as long as they (ideally) do it quickly and decisively. I think that in particular has helped Eom - he looked so inhibited playing under Williams, but now revels in attacking (and defending) now that he's not being micromanaged on every blade of grass.
It's reminiscent, dare I say it - only as a broad conceptual comparison - with the 'Heavy Metal football' that Klopp loved to play. It's high energy, high press, transition football. Just because it's less reliant on players cycling the ball to each other endlessly, doesn't make it less of a style.
Of course, not every game has been rich in style and substance, I'm sure we all remember the Derby game as an example, but I've seen enough to clearly see evidence of an approach to games forming under Sheehan, and the players have responded.
Grimes leaving and LOB arriving was also big, but I seem to recall at least 1-2 games under Williams with Grimes gone and LOB in that were pretty grim (Sheff Weds home, Stoke away?). Only when Williams left did the black cloud lift away (instantly...)