I have an HX Effects at latest firmware V3.0 and same problem as the OP. In response to the previous "RTFM" posts, "setlist" is only mentioned 2X in the V3.0 manual: First, on pg 16 is the above quote from kylotan and then (new to V3.0) again on page 43 in this tantalizing reference, "...immediately jump to any other preset within the current setlist". I believe this is a typo carry-over from the Helix manual as there is no other mention of set list support in the Effects manual and, as noted by the OP, no apparent support in HX Edit for setlists in the HX Effects unit. I can only conclude that like the Stomp unit, the Effects unit only supports one setlist.
