I am new to the "HX" world and I recently had the same question about "Setlists". I've read HX Effects manual thoroughly a few times and it doesn't really explain anything about how to set up a setlist, how to manipulate a setlist, or how to use them for that mater. I did, however, discover that the "Setlist" information can be actually found in the "HX Edit" manual, not the HX Effects Manual.
Look in the HX Edit Pilot's Guide v3.00 - Rev P manual, start on page 12, and ready through the "Presets Panel" section. You will start to read about Setlists starting on at the bottom of page 13 (Importing and Exporting Setlists). I discovered that the HX Effects does not have the same menus as the HX Stomp for Setlists. In HX Effects, there is no Setlist menu. The Presets Libraries includes only one setlist. It says that you use the "Import Setlist" option to replace the current setlist with one saved on your computer. It also says that a single Setlist on your HX Effects displays no name on the hardware or within HX Edit. That said, you can edit the Setlist’s filename when Exporting the file to your computer.
So, basically, a Setlist on the HX Effects consists of all presets currently preset library, and you use HX Edit Import Setlist and Export Setlist commands to save and load different setlists.
Read the HX Edit manual. It was very helpful.
