I'm a brazillian frustrated keyboard player, and I have plaid the keyboards since i was 11 (now i'm 16). The thing is: If I have plaid this instrument for 5 years i should be so damn good, but i am not. This has led me to depression, but now I found the reason: My musical taste has changed, and now i want to play Progressive Rock and Heavy Metal, instead of the crappy pop music I played then, and intend to start having piano classes with a new teacher next year (when I'll be in college). Does anyone know what path should I take to become a good Progressive heavy metal keyboard player , In other words: Is it important to learn all about classical music before developing my own style or should I take lessons focused on the electronic features of the sithesizer?

If you are classically trained then you need to get familiar with chording with your left hand rather than playing a melody line. Listen to your favorite music and pick out what they are doing.
It is important to maintain your classical training as that gives you flexibility and technique. Use a variety of exercise books such as Hanon, Bach scales and arpeggios, and incorporate some chord studies. You must also become very familiar with the particular keyboard that you are using.Keep on playing and good luck.