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".