The manual says .."press and hold Tap while you press down on the model select knob" to save a sysex dump.
This doesn't work (at least on my M5) And after much lead swapping and head scratching, I discovered you have to
press the On/Off button instead of The Tap button.
The manual should say,"..press and hold On/Off while you press down on the model select knob."
(Also, if you happen to be using Midi-Ox to record the Sysex, You have to send/receive the data for it to work and not
just send it. :) )