The USB cable connection between MODX and your computer is not for firmware updates or doing backups. The only data you can transfer between MODX and the computer using the USB cable connection is song (MIDI) data - which now includes pattern data. It cannot be used to backup all of the data on your MODX.

Only a USB flash drive can be used to firmware update. Not the USB cable connection to a computer.

Only a USB flash drive can fully backup your MODX (song data, performance data, waveforms, library data, liveset information, custom user curves, custom user microtunings, etc).

You will want to purchase a flash drive. It doesn't have to be large. I generally go for 2-4GB (the smallest I can find). And USB 2.0 - although not necessarily a requirement. The MODX product page publishes a list of USB flash drives that have been qualified to work with MODX. This means that Yamaha has run tests and determined the flash drive should work. It doesn't mean if the drive is off the list that the drive will not work. Just that you're on your own testing a drive that is not qualified.

I would highly recommend finding a flash drive for a firmware update. It's not a given that a new keyboard will come pre-loaded with the latest firmware. My experience is that this is hardly ever the case. I would expect that the latest features will not be available to you until upgrading - and to upgrade using a flash drive (there's no other way).

There's lots of documentation on how to do this process. The firmware ZIP file has instructions inside of it. This site has lots of threads covering the procedure and tips. There are videos available. It's a very publicized process.