Easiest way to describe it is a full Backup is like when you backup the whole of your computers boot drive, the file that is produced is an exact copy of said boot drive all be it saved as a unique file which is compressed and of no other use but to restore said computer to the state that it was in when the backup file was created.
So if say your Korg has operating system version 1.5 installed, you create a backup of that installed version. Now you update the operating system software to version 2 but there are to many bugs in said update for your liking so you use the backup file to restore version 1.5 to the keyboard.
Now for the big BUT, in that the Backup has a flaw, it Does Not backup all your User Data and settings the Update wipes all that data.
Think of it as Windows wiping all your My Documents folder each time you update it so all your music, images, word docs, pdf files etc are gone.
That is where the Save All comes in, it saves each element(s) of the customised User Data into one file which in the case of Korg gives a dot set file. In using this file you can choose to Load All or to load specific elements back into the keyboard.
Now when you update the Korg operating system the final processes is to do a Factory Reset and then you Load the SaveAll file that you created and then you will have your PA fully updated with all your customised User Data intact.
It is all documented in the Update Manual that is extracted from the update zip file.
Now that you have successfully updated the Operating system you Backup and SaveAll again but this time with a different name.
I tend to use for the Backup something like Backup14_20190806 which is a backup of version 1.4 created today. For the SaveAll it then becomes SaveAll14_20190804.
Do create Backup and SaveAll files twice, save one of each to the USB drive and the second time save one if each to the microSD card.