* The link between a Pattern and a Performance is stored in the Pattern. This is what turns the link symbol blue. The Performance has no clue.

* Patterns are saved to the Montage memory automatically. There is no Save function like there is for Performances.

Correct on both accounts.
The Performance is the band. The band could be a Piano Trio: Piano, Bass and Drums.
Say you have the Bosendorfer Piano, Upright Bass, and Jazz Kit... the Oscar Peterson Trio!!
The Pattern is the composition they are playing.

The same band could be associated with 128 different Patterns.
So yes, the composition remembers the instruments used to create it.
The same band could be associated with several Patterns.

Storage
As soon as you create a Pattern it is documented in the [UTILITY] > “Contents” > “Data Utility” > “Pattern” Folder.
MONTAGE CONNECT can be used to access each of the eight Scenes — allowing you to drag n drop each of them them directly into your DAW. Use your mouse to pickup the Section 1-8, you wish to drop into the DAW. There are 8 little boxes, one for each Scene. If you pick it up by box #3 — Scene 3 will be transferred to your DAW — drop it on the measure line you wish it to start.

Additionally, you can SAVE each Pattern Scene as a separate .mid File from within the Pattern Sequencer (to USB stick).

Both the Pattern and Song Folders remain in your instrument until you either Clear or Delete the data, or Initialize your MONTAGE.
They are not written to User or Library Files.
Both Folder are, however, backed up in the BACKUP File .X7A