The Performance Recorder has three functions, as of version 3.00.1:
MIDI — Allows you to record/assemble a linear Song. You can record yourself playing directly to the MIDI Performance Recorder. You can also load a .mid file for playback. Or you can put together a linear song by transferring Phrase data from the “Pattern” function. You can “Chain” Pattern Scenes into a linear Song.
Audio — Allows you to record a real-time interaction with the MONTAGE synth engine, including recording the A/D Input. The result is a stereo .wav file output via the “To Device” (USB stick).
Pattern — Allows you to record MIDI into 8 Scene (sections). These Scenes can be from 1 to 256 measures in length, and work as looping entities. They can be “chained” and then converted into a linear MIDI Song.

You cannot playback a MIDI Song or MIDI Pattern and simultaneously record it internally, as Audio. The MONTAGE/MODX do not feature a ‘sampler’. If you wish to capture the playback of either the “MIDI” recorder (Song) or Pattern recorder, you must connect the MONTAGE via the USB “To Host” Port to a compatible device (computer, iOS device). A DAW, like Cubase, Logic, Pro Tools, Ableton can record the .wav file; an iPad app, like Cubasis, or Yamaha Audio Recorder; Or you can connect the Analog Main L&R outputs to an external recorder... result: stereo .wav file

Hope that helps.