This is the fast way to create your preset library. When you select this menu item, a supporting window is opened which provides a number of options. You can select which banks you want to backup (A,B,C,D). If you are running in pre-express mode the bank options are disabled. You may further select a range of preset numbers to be fetched. This range is effective for all the banks. Normally you would be more likely to either get everything or a specific range only in one bank. In any event you have the ability to get precisely the ones you need. You can also select (or browse for) the desired directory the presets should be stored in. Sub-directories will be created (or used if present) representing each selected bank. They will be named "Bank A", "Bank B", etc. The individual preset files will be stored in these. In pre-express mode, no bank subdirectories are created or used.
There are two methods of selecting presets. Which one you use depends on how you want to access and organize your files. By selecting the loop by preset number option, requests will be issued to sequentially select each preset within each bank as they would be selected by turning the encoder. The Program change mode issues standard Program Change requests 1 thru 200 (actually 0 thru 199, or 0 thru 127 when in pre-express mode), but these will be redirected according to any MPT settings you have made. So you will not necessarily get the presets in sequential order as you would scroll through them using the encoder. This is probably desirable to create a backup of your live configuration especially if you use a foot controller such as the X-15. However it really gets in the way if you're trying to create an archive of the 475 factory presets plus your own. In such case, stick to the first option. Note that the program attempts to identify your currently selected bank before beginning and then return you to that same bank when the backup is done. If this fails for some reason, you may need to manually reselect the original bank.
The resulting files are named the same as the preset names plus the extension ".sgxnnn" where nnn is the program number. This naming convention lets you sort by either file name or program number in the file explorer.