The factory reset on the Roland E-09 will erase the User settings that you have. It will not erase the factory resources, which includes the EFX and all of the factory sounds in it. It will erase any custom settings you have and essentially make the unit think that it came right from the factory.
As said before, you can do a backup to save your User settings for your setups and such. Since the E-09 is not a synthesizer, you cannot actually modify any of the programs or create new ones. When you create a User Setup, you are basically adding EFX settings to existing programs and saving them as your own.
If memory serves, the backup feature is called a Bulk Dump on the E-09. The instructions for performing a Factory Reset are on Page 9 of the manual.
Before performing the Facotry Reset, what is/are the problem(s) you are having that caused someone to tell you to perform the Factory Reset? Since the E-09 is more of a preset instrument, I wonder what issues you are experiencing...
Grace,
Harry