In the system settings editor (PRESET + SEQ + MOD), you'll find it on the bottom row, the rightmost button group that is lit - press the two buttons to select on and off
You can also use the left/right buttons in the sequencer section to select "Sav.S" in the sequencer display, the select "ON" or "OFF" with the preset left/right buttons.
Or you can use the MIDI Control Center, selecting the DEVICE tab where you'll also find this parameter.