...as I assumed, no bug, a feature

joking appart

A keyboard in this high price class shall at least pop up a message if you are trying to save on a stick if it is not possible. In this case the behaviour is exactly like saving something on the internal hard disk. And if you do not know it, you are in the belief it is working, and later on you will recognize that you have wasted a lot of time.
Further on it is not documented in the manual that it is not possible.

--> and this for my opinion is a serious problem were Ketron have to work on.

Joe