1) Is it possible to load and install own samples (.wav for example) and work with them as in the Moxf? I mean, in the Moxf I can install my own guitar, and modify FEG, AMP, OSC... etc.

Yes, you can load your own Samples to MODX Waveforms... the MODX comes with 1GB of Wave memory. With very few exceptions, you can load Motif XS/XF and MOXF data to the MODX.

2) Is it possible to work with the FM-X parametres for modifying those own samples? Or FM-X engine works only with the internal waveforms?

Not sure about the question. FM-X is a separate type of Synthesis Engine which does not use audio samples to create sound. It predates modern day samplers and is a kind of pure synthesis. The MONTAGE and MODX feature a dual synthesis engine. AWM2 is sample based, FM-X is based on the technology that made the DX7 famous.

The two Synthesis engines can interact via what Yamaha calls the Motion Control Synthesis Engine. But strictly speaking, the synthesis engines have different parameters. The AWM2 sampled based engines comes with thousands of Samples... the FM-X builds its endless variety of sounds through how you cause them to interact.