I don't think you can save the on/off state of the Strymons by doing it that way, although of course I could be wrong. I believe that what the PBC does is internally count how many presets you scroll up and down on the Strymons relative to an initial reference point and that way is able to save the presets correctly, i.e. adds or subtracts a certain number of steps to whatever program change you last sent before you started scrolling and saves the result as the new PC on the PBC preset.
To test the above, try scrolling on the PBC, then scroll a few times on the Strymon itself, save the preset on the PBC, and see if it still saves it correctly. It's been a while since I've tried it myself.
But it's different for on/off toggle. Remember that the PBC is communicating with the devices through its MIDI out, so it isn't really receiving any MIDI feedback from the Strymons. It can't tell whether the device is on or off or whether you previously sent an on/off toggle MIDI message ... once the message is sent via an IA, it does its job and it's gone, it's not a continuous thing that the PBC can monitor when you save your preset. It would need to be something that it can count internally like for the preset scrolling.