I'm not 100% sure on this but the Step Sequencer on the Juno DS has other crippled features as well.
I know for a fact it cannot export MIDI to a DAW unless you do it by saving to a card first and physically transferring it to the computer.
It may well be that what you wish is not doable or there may be a similar workaround.
Possibly it can only be done on a certain track or channel and not all of them.
Either way I'd suggest that you write Roland Support and put the question to them.
You should receive an answer in a month or two.
They are slow but they do respond.
Gary