It's odd that Blake used the phrase "performance mode" on that web page, to introduce the video. He doesn't use the phrase in the video itself, and it's never used in the CP4 manuals, because on the CP4 you're always in "performance mode" ... there's no other choice, e.g., no "voice mode". When you turn the CP4 on, you're in Performance #001 automatically. Any change you make - like selecting a different voice - is an edit to Performance #001 (which the display tells you with that little "E" for edit), unless you switch to another Performance. I think a lot of folks treat that initial-boot-up state as if it were a voice mode, somehow separate from a Performance, but it isn't.
I'm all for saving customized Performances. The CP4 defaults can almost always be improved on!