When recording from the PSR to an external sequencer, Yamaha recommends using the Mixing Console to setup voices, effects, etc. Then open the midi made in the PSR in the sequencer and multi track record to measures after the setup commands put there by the PSR. For this to work, you must have at least some note data in the track before you edit the setup in the Mixing Console. You can not 'setup' and empty track. I ensure this by starting with a type 0 midi that I made on a sequencer with one note in each channel, 1 to 16.
After editing each track in the Mixing Console, depress Top, Open Sound Creator, depress Next to the Channel Tab, and button B to the fifth item, Setup. There you will see a list of items that can be recorded to the song any time that you depress the Execute button that is shown on the screen.
First, make sure that Voices, effects, etc are all checked, then depress the Execute button, and it should tell you that it is recording your changes.
Regards,
Michael