You can record through the MONTAGE to a computer DAW. The MONTAGE has a 32-channel audio interface built in. You connect the MONTAGE to your computer via a USB cable and the Main L&R Outputs to a pair of Studio Monitors. The 32 bus outputs allows the utmost in recording flexibility when working with a computer DAW. The MONTAGE comes with an entry level version of CUBASE Music Production software.

The MONTAGE has an A/D Input that can be routed on a discreet audio bus to Cubase. That A/D Input has its own dual Insertion Effect processor which can be used and monitored with zero latency. Having the audio interface in the hardware means never having to be at the wrong end of latent signals.

Recording a .wav file directly to a USB stick renders only a stereo file... and does not allow multi-tracking of any kind.
The MONTAGE does not have a sampler built-in, audio multi-tracking is done via USB to a DAW. The MONTAGE features perhaps the most robust audio recording capability ever in a keyboard. All you need is USB cable...

It features both a Main L&R analog out and an Assignable L&R analog out (great for situations where you want to setup headphone mixes for overdubbing musicians). When configured in a Studio arrangement you’ll find the MONTAGE a power tool.

If you're recording external instruments (bass, guitar, vocals, drums, etc) and want to record them "live" (together) and want to maintain separate tracks - then Montage is not the recording device you want to use. It only interfaces with 2 channels of audio (left and right) for audio input. If you want to pre-mix all of of these instruments and feed them into Montage - that's fine. OR - if you do not want to record everything "live" (at once) - then you can record one instrument at a time through Montage if you want and assemble the multiple tracks together in the DAW.

I would think a more conventional approach (just for the recording side) would be better. Some form of audio interface with enough channels to support simultaneous recording of as many instruments as you want at once - and have those recorded by some means. There are lots of options here. From dedicated all-in-one hardware to separate audio interfaces with a computer and DAW software. Montage gives you Cubase AI "for free" - which is capable on its own right and can be paired with a multi-channel audio interface.

It's not that Montage can't work for you - I'm just not sure how you expect to lay down the tracks. One-by-one (one instrument at a time), pre-mixed, or each instrument recorded at once with its own track.