My MIDI cables are all fine. Not only are they basically brand new (less than 2 months old), but I was using them when I was running my rig before with no issues. They are Monster MIDI cables though, so not all five MIDI Pins are active, but I don't think that matters.
As for the dip switches, I basically tried exactly what you guys are saying. I changed all the switches in the RT to face the back of the amp, or the 1 position. Then I put all the switches on the M4 up or off for 1 position. This should have worked by the way you guys are explaining it, but it is a possibility I have something else hooked up wrong. Here's how it goes:
guitar -> M4 input
M4 ouput -> RT Channel 1 Input
RT Channel 1 Main Output -> Speaker Cabinet
M4 MIDI Thru -> RT MIDI IN
I also tried M4 MIDI IN -> RT MIDI Thru just to make sure I didn't have the MIDI Cables backwards. I want to get this working with the M4 alone so I'm certain that my issue isn't the RT. Once I get this working, I'll add the GCP. I bought the GCP new, so only my presets are in there.
As for Control versus Program changes, I have no idea which is what. Right now I use presets on the GCP to turn on/off loops on the GCX so a preset could be a channel of a module and a pedal to gether. That's it.
Some more info about my set up. I did all of this with the RT in Standby. Not sure if that matters or not. I basically ran through every channel of every module on the M4 assigning a channel from the RT and then when I got back to the first channel, it didn't store it. I also held for three seconds the channel button on RT and it never flashed like with the M4. Not sure if it does or not though.
So is there a problem with the way I have my cables routed or something? If not, then I hope my MIDI board isn't "blown".