I created paragraph style in one PSD file. After that I saved it to default styles and loaded it into another PSD file.
How can I synchronize changes at all documents after updating just in one of them?
I am using Photoshop CC.
Sorry, you can't.
There's no way to sync style across multiple documents.
The best you can do is to load paragraph styles from the other PSDs.
Click the rightmost ribbon and then "Load paragraph styles" choose the PSD file with paragraph style you wish to import and then just add/replace. All the paragraph styles associated with other document will be available in your current document.