The VCM Mini Filter is said to have self oscillation capabilities.

https://yamahasynth.com/learn/montage/mastering-montage-vcm-mini-filter-and-mini-boost-in-os-v3

I try to recreate a sound effect as close as possible to the one in this video from 7:05 on:

The first advice I usually give someone is: ask the person that knows the answer first. In this case I suggest you post a comment at that link and ask the question there:
'Anthony - can the sounds at 7:05 on be reproduced on a Montage? Maybe it’s simply not possible on a digital synth, but only on gear with analog filters?'

He's a professional and may just answer your question. If he does that would at least tell you if it is possible. And keep in mind the M models have an analog engine. You might mention that in your question.

I have read a description how to achieve this (in German), but the result was not that satisfying. (It explains via self-oscillating filters.)

Can you understand why it would be more helpful if you posted a link to what you read so we can read it and judge for ourselves?

And just an FYI - if you right-click on the video when you are at 7:05 you will have an option to save a link for that exact time. Try it out - I think you will find it useful in the future even when you want to bookmark things for your own use.

Try experimenting with the VCM Mini Filter as Jason suggested and see if it puts you on the right path:

1. INIT NORMAL (AWM2)
2. Edit Part 1 - Common -Effect - Ins A
3. Select 'VCM Mini Filter' from the 'Misc' category
4. Highlight 'Resonance' and start increasing it
5. When you get to .680 you should begin hearing the filter oscillate
6. Stop when you get to .750
7. Now highlight 'Cutoff' and change the value up and down using the dial
8. You will hear the frequency bouncing around.

Notice that you are NOT using an oscillator and you have NOT played a key. That is what self-oscillation is about.

Thanks for your answers … Yes, the VCM Mini Filter does the job! Amazing stuff!

Actually, I found a video Anthony explaining in detail:

https://youtu.be/Zf8GKMviq9E?t=714

(@Andrew: You see, I’m learning …;) )

Still haven’t figure out how the details can be implemented with the MODX+, but the principle works fine with the VCM Mini Filter! Thanks again for the hint.