Your not following the instructions correctly otherwise you wouldn't have made the comment about the effects/sfx button. First up, you have to already know how to make up a standard Voice List as indicated when the manual says:

"Edit menu is the same used for standard Voice List." If you have not learned how to make up a standard voicelist your not going to understand the rest of the section:

Make your modifications on the 20 Voices of the List
provided on EFFECT/SFX group. You can Save it in 2
ways:
1. Save together with the entire Voice List on folder
C:\SYSTEM\INIT\VOICELIST.TOU by pressing
USER 5/10 SAVE.
2. Save just the individual User Voice List by
pressing USER 4/9 SAVE UVL. This file will be
saved into the UserVoice List folder of Audya

So if you want to make up an individual voice list, do so using the Effect/SFX tab and then follow section (2).