Selecting ‘ALL’ saves all the patterns, kits, and songs (even the blank ones) but not the User Waves (RAM/ROM samples) in one big .SYX file. All the patterns, kits, and songs are in that .SYX file that you saved to your computer. The ‘preset machines’ are not samples.
If you want separate backups of each pattern and kits, you need to save them separately to the computer by selecting ‘PAT+KIT’ etc instead of ‘ALL’.
If you want to also save the samples to your computer, you have to do that separately using the MD’s Sample Manager (see page 70 of the manual) and C6.