Once you choose usb press exit button because this stores the setting and returns to previous display according to Yamaha.

That is correct. Once you select MIDI I/O = USB (green is active). This will be stored with your instrument’s system settings. It will remain set to MIDI I/O = USB until you change it or you load a file that has this set to MIDI I/O = MIDI.

In general, your instrument’s UTILITY Settings are written to any User File that *you* make. If you have loaded a User File with some one else’s Utility settings you will want to update the settings with your preferences and then overwrite that File.

If you discover your MIDI I/O = USB setting changes to MIDI, it means the USER File that you loaded has it set that way.
Review the Utility mode settings (all of them you have customized) including MIDI I/O and change it as you desire.
Immediately overwrite that USER file.
[UTILITY] > “Contents” > Store/Save” > set “Content Type” = USER FILE
Target the very file you just loaded and Overwrite it.

Once you choose usb press exit button because this stores the setting and returns to previous display according to Yamaha.

@Darren

Thanks for this. I learned something here. Not sure how I missed this requirement - but it's true. System ([UTILITY] ) settings don't save unless you exit from the [UTILITY] screens. I didn't realize this before and have had what I thought were buggy events or just poor design when different changes didn't save. I would make a change in [UTILITY] and then turn off the keyboard and the change didn't "stick".

Here's where I had that observation: https://www.yamahasynth.com/ask-a-question/performance-utility-parameters-not-saved#reply-79185

And the follow-up is: you have to EXIT first in order for these changes to commit. Even though you answered "ok, blow away the old values" in a past menu that seemed to warn you that the next step would do something that it doesn't. I guess this is OK because if you make a mistake overwriting your quick templates - just power down before the [EXIT] and you're back to the pre-change state.

Once you select MIDI I/O = USB (green is active). This will be stored with your instrument’s system settings. It will remain set to MIDI I/O = USB until you change it or you load a file that has this set to MIDI I/O = MIDI.

... well, almost. Better:

Once you select MIDI I/O = USB (green is active). Only after exiting from the UTILITY menus, will this change be stored with your instrument’s system settings. It will remain set to MIDI I/O = USB until you change it or you load a file that has this set to MIDI I/O = MIDI.

And for good measure add: "If you turn off your instrument before navigating away from the [UTILITY] menus, your changes will not be saved and previous settings will be restored."

At least one past mystery is solved for me. This also solves some potential problems in my future and may also hint towards why some see "strange" behavior after making system configuration changes (unknowingly without exiting from the Utility menus first).

What I did to test this was I changed Local Control to OFF, scrolled through all of the [UTILITY] menus after making the change, went back to verify Local Control was still OFF then power cycled my keyboard and came back to find Local Control was ON (the setting before I changed it). Then I made the same change to Local Control turning it Off and then quickly pressed [EXIT] and power cycled. This time I went back and noticed Local Control was OFF (saved).

A lot of words for such a little thing - but it really is something in the "counterintuitive" bucket that I'm pretty happy about learning after all this time.

The actual instructions are in the owner's manual (Source: https://usa.yamaha.com/files/download/other_assets/7/812097/montage_en_om_b0.pdf )

MIDI and System Settings
MIDI setting data and System setting data are automatically
stored when those corresponding setting displays are
switched to another display. Data is lost when you turn off the
power to the instrument without switching displays. This also
occurs when the power is turned off by the Auto Power Off
function.