Okay, I am on old piano player trying to learn to use a new MOXF Keyboard. I seem to be missing something simple on the recording/sequencing.

Once you record your backing track using "Direct Performance Record" subsequent recording will be done in the SEQUENCER Mode to which you directed the Performance... if you direct it to a Song.

However, the "SEQUENCER" has a second mode that allows you to construct the composition by Sections....

Technically speaking, sequencing is the act of recording one-track-at-a-time, one after the other. Direct Performance Record is the MOXF's way of cheating the rule, it let's you record four Parts at once from the Performance Mode (where you transmit/receive on a single MIDI channel)... it does this by outputting each of the four Parts on a separate channel, records it to the Pattern or Song you direct it to, it then copies each of the four Parts to four corresponding Parts of the MIXING setup.... it then switches you to that selected Mode, and reunites the data with the sound that it is meant for.

Song is for linear recording... start at Measure 001... play through until finished.
Pattern is for creating your composition one musical section at a time, then chaining the sections into a play order, then converting that Chain to a linear structure.

Important fact: Song mode has 16 Tracks
Pattern mode has 16 tracks per Section, 16 Sections.

To fully grasp the concept ... go to Pattern Mode and playback the Sections of the Factory demos.
Press PATTERN
With [F1] PLAY selected, starting with Section "A" it will loop - it will cycle forever, unless you tell it to go elsewhere.
you can manually select when the various Sections A, B, C, D, etc play.
Use the PATTERN SECTION buttons on the right front panel to select a Section to play, A-H and I-P (notice how they change at the top of the next measure, allowing musical Sections to be dovetailed, one after the other in a musical fashion).

Then try stopping the playback and this time...
Press [F6] CHAIN
Now when you press the start button the Pattern Sections are automated to playback in a specific order.
From this you can glean how each PATTERN Section was constructed one at a time, then chained into a linear play structure.
The CHAIN is a function that puts Pattern Sections in a specific order.

Once you record the data from Performance to Song or Pattern mode... go to Part 5, select your saxophone (or whatever sound you wish to add to your backing tracks.

What am I missing. The owner's manual does not appear too helpful. Is there a another manual explaining it in more detail.

The Reference Manual is where you go to look things up.
The Owner's Manual (Pages 36-38) gives the general Step-by-step procedure for directing a Performance to Song mode (p.36) and to Pattern mode (p.37)

The reason you cannot figure out how to add a second Performance is because that is not how it works.
The Performance (unfortunately you don't mention which one so we can't be specific in our answer) can be thought of as your Rhythm Section.... you are seeking to hire another rhythm section when you attempt to record a second Performance.

Think of a Performance as your backing band
Think of the Song or Pattern mode as the recording studio's multi track
Say you are directing your Performance to PATTERN and to Section A
Record a specific number of measures that will serve as 1st VERSE (8 Measures)

Now you can go back to the Performance and using the same four musicians setup to record Section B - call it a Chorus Section. Direct it to Pattern Mode, same Pattern number, but Section B.
rinse and repeat, you can create as many as 16 musical Sections... A-P

Pattern sections can be listed (chained) to playback in a specific order... PATTERN CHAIN

AABA is a standard song format - where the letters represent a musical Section - verse, verse, chorus, verse...

C could be your Bridge (you said you are an old piano player, I'm guessing you remember when songs used to have Bridges 🙂

That's how you can build up a Song... the concept is discussed in detail in the Owner's Manual.
Best advice... try it, experiment.
Go over the quick guide in the Owner's Manual even if you don't know why they are taking you through something. It will help you piece together your own personal workflow.