There is no more global 'Zone Master' setting as each part can now designate its own channel for transmitting externally.

This means that the way you select whether to transmit the actual keys you press or, when using an arpeggio, to transmit the notes the arpeggiator produces has changed.

In a thread on another forum Bad Mister, he goes incognito there using an alias of Phil Clendeninn, explains the change of workflow:

The MONTAGE M works differently when it comes to recording an assigned Arpeggiator Out via MIDI. (See page 208 in the new Data List pdf for the routing scheme).
The Zone Settings are available in all Performances for each Part; a Part can be designated to the “Internal” Tone Generator or to “External” (Out via MIDI). When the Part slot is designated “External” you can choose a MIDI Channel on which it is to be sent. If you then *select* that Part, or engage KBD CTRL for that Part, it will output data accordingly, including any assigned Arp Phrase via MIDI.