Did you press ‘Apply’ at the bottom?
Don’t need to use Convolution - you can just use Matrix.
Press ‘Enabled’ and ‘Expand HF’ and in the field to the right, give it a profile name of your choice, then press ‘Save’.
Then you can “Load” this matrix profile that you named and press ‘Apply’ and it will become your default, if you want a default.
And yes, when you select the WAV files, they can be local or USB stick, and should get stored on your Embedded machine, after you save/apply
Before you press play with music, it’s a good idea to ‘Plot’ the corrections, so you can see if you need to add or subtract gain.