Clarification for prometh (and anyone "new" to the Axe FX reading this),
Forgive me if you're already figured this out. But, based on the replies you got, I could see people reading this getting confused. I want to be sure that you realized that doing a system dump is still separate from the banks. To save EVERYTHING that you can from your Axe FX, you need to save the following 4 things separately:
System settings (You would hit your "Utilities" button, page over once, then choose "Dump System to Midi".)
Bank A (You can dump bank A from this same section in the utilities menu)
Bank B (You can dump bank B from this same section in the utilities menu)
Bank C (You can dump bank C from this same section in the utilities menu)
Scott and others have obviously pointed all of this out, already. But, I wanted it to be clear that you cannot do all 4 things with one function. You have to do the system and each bank separartely.