I think when you save in SONG+SOUND mode, performance data and song data are saved, but no patch data is saved. The song/sequencing data, the tracks/parts of the performance, and performance data (effects, sync, etc.) are all saved. Assigning a patch or drum kit to a performance part only instructs the performance to play the sound at the memory location instructed.

If you create a patch (USER005:MyCoolPatch) and a performance (USER002:MyCoolPerformance) and assign USER005 patch to part 4 of the performance, then save it to disk, then initialize (restoring factory sounds to USER memory), here's what will happen when you try to load your song/performance: The performance "MyCoolPerformance" will load into temporary memory (has an asterisk by it like a patch that has been edited but not saved to USER memory) as will all of your song data. However, when part 4 of the performance plays, it will play whatever is currently in USER005 patch, not the patch you had created. The same holds true for USER drum kits. Does that make sense?

Anyway, if you want to save USER patches to go with your songs, you'll have to save all user memory as a sound file, then load it later when you load the USER performance/song.