This seems like a generic question about recording MIDI in Pro Tools (not anything specific to Montage).

First few hits on a search engine searching for "recording midi in pro tools"

Intro to Pro Tools: Recording MIDI
https://www.sweetwater.com/sweetcare/articles/intro-to-pro-tools-recording-midi/

Pro Tools 9: Recording MIDI Instruments
https://www.youtube.com/watch?v=V33RV5e6Bls

Pro Tools 11 - #26 - Intro to MIDI, Recording MIDI, Instrument Tracks ...
https://www.youtube.com/watch?v=WXwrJpmP04Y

Recording MIDI With Pro Tools | Pro Tools Production
www.protoolsproduction.com/recording-midi-pro-tools/

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Then there are Montage related ones (search term "yamaha montage pro tools"):

Yamaha Montage and Pro Tools MIDI Workflow
https://www.youtube.com/watch?v=SF5a_YhjTQg

Setting up Montage with Pro Tools - Yamaha Synth
https://www.yamahasynth.com/forum/setting-up-montage-with-pro-tools

... there are more - but it's more of a task to weed out ones that do not apply.

Hopefully there's something there to help you.

Easiest way:
Select a Preset Performance...
Press the RECORD button on MONTAGE
Record yourself playing the Performance
Press STOP when complete.

Connect Montage to your computer via USB
Open the utility program MONTAGE CONNECT.
Go to SONG IMPORT
Drag and drop the “song” into your favorite DAW as a .mid File...

So, I’m still struggling to understand the process of recording a Montage preset into Pro Tools and then editing that midi data and triggering back the Montage with the edited data. I have CP5 that I have been recording into Pro Tools for a long time. So I understand how to use the CP5 as a midi controller to trigger my sample libraries.
Am I correct in this thinking? A Montage preset could be made from up to 16 parts and each part needs to be recorded, midi, to a separate track in Pro Tools?

Am I correct in this thinking? A Montage preset could be made from up to 16 parts and each part needs to be recorded, midi, to a separate track in Pro Tools?

Each Part should be recorded to a separate MIDI Channel. That is an important different statement.

Each Part of the MONTAGE is on a different MIDI Channel. This is what can stump many: A MIDI Track may record all channels. This depends on the DAW... Some record all incoming data no matter the channel, and rechannelize on playback.

You want a MIDI Track to Record and playback what it receives. If you need to edit the data you will want to separate it to individual Tracks by Channel.

Like the CP, each Part Transmits on its own MIDI Channel