The saved presets should be saved as well. There’s a problem in the help file, in that a semi-necessary option is not displayed outside of the Live context. After you paste the patcher into your device, open the pattrstorage object’s inspector and check the "Auto-update Parameter Initial Value" box. Then you can save some presets, save the device and the presets will be available from within Live (via pattrstorage/preset).
Not sure if this is more than a documentation bug at this point, but we’ll take a look at it. Sorry for the confusion.