Cursor down and select say 'bank 0 user presets'
Press the flashing Home/Enter.
The CS send should light and the counter on the manual dump in MidiOx should start counting if you have the connected Midi interface selected as a device in Options/Midi Device... in MidiOx.
This is all that should be required as far as I know and works perfectly on my system.
The fact that you are not seeing Midi out led light up on the CS means the problem is in the CS.