Yes, I also has issue understanding this step.
I think it should be read like this :
Press home, and exit the file manager back to system menu.
Press Select to open the gateway's game selection menu.
select the game and press A, so gateway mount that game and it appears in the "inserted slot". This step is forcing gateway to also load the game's savegame into the cartridge's memory (eeprom) if it's not a card2 and if it's different than the previously loaded game.
Do not launch the game ! (unneeded? but it's not a problem)
I also don't understand why this guide has so many steps, like "select the game, launch the file explorer, copy the save to export" while you could just mount the game and extract the cartridge's memory itself.
but, again, I'll do some tests. I really don't like guides who tells you to press buttons without explanation of what is really happening and why. like what titleId is 0004000002C23200 ?
I'll try to understand.
it's also mixing exporting steps with importing steps, making it over complicated when you only want to export/convert without import.
forcing you to install games and generate save data, even if you don't want to play the game or import the save. I suppose the install and launch is not needed at all to export only. but it's telling you to do it even before exporting. chronological error in the guide is making it confusing.
edit:
I think I start to understand, but I would have loved a provided explanation instead of letting users think by themselves.
jksm cia saves its own savegame to the sd root as 0004000002C23200.sav? ok, if it's the case, then the gateway save being encrypted, you need the key of the save to be loaded into jksm's save itself? using the same game's loaded in memory in gateway than the key loaded by jksm, you can decrypt the cartridge memory. I hope I understood.
why jksm wasn't updated to load the key from the gateway save itself instead of loading the key from its own loaded save? if it uses the data in the .sav, it could find the same thing in the eeprom.
if it can export saves from the cartridge, then why not export it as 0004000002C23200.sav first to get the key? it can't dump full raw eeprom?
I didn't find in the JKSM sources where this root file is loaded or ever used.
but it's using it someway.
I'm currently doing the backup. I'll write a guide from my own experience.
How to convert gateway save to JK Save Manager format
My guide does not require you to install the cia game before doing the backup.
requirement :
1. first, backup your SD card to computer.
2. the game you want to backup its save need to be on your Gateway micro SD card.
3. a way to launch homebrew launcher, or install cia (FBI.3dsx, FBI.cia, JKSM.cia, CTRXplorer.cia)
4. all your gateway game's save files on the root of your SD card
5. optional: to make it easier for later steps, locate your game's ID on 3DSdb.com and create a new (empty text) file on your SD, named after the .sav file's name but with the game name added to it.
example :
000400000004B300.sav
000400000004B300 cubic ninja.txt
setup :
1. go to gateway emuNAND
2. If you already have a way to install cia, go to step 4. If you don't have a way to install cia yet, launch homebrew launcher (I used cubic ninja exploit)
3. launch FBI homebrew, abd from fbi install FBI.cia to your emuNAND.
4. in FBI (launch it if not launched yet), install both JKSM and CTRXplorer cia. return to emuNAND sysmenu.
5. launch JKSM once, it will generate/check your existing games. (not sure this step is needed, but I did it this way). press home and exit.
6. launch CTRXplorer.
7. locate 0004000002C23200.sav and delete it (press X quickly). this is JKSM save data, it's not needed.
8. exit CTRXplorer
backup:
for each game, you'll need both : the game loaded in the game slot and it's save file renamed to 0004000002C23200.sav
1. press select to display gateway game menu and load the game you want to backup its savegame data into the cartridge slot. (launching it is not needed)
2. launch CTRXplorer.
3. locate the savegame file you want to backup (use 3dsdb.com to get the game's titleID if you didn't add the hint from Requirement step5)
4. press and keep pressed the X button for one second to rename.
5. rename the 00040000xxxxxxxx.sav to 0004000002C23200.sav, using D-pad to edit the filename letter by letter and press A.
6. Press home button (optionally, exit CTRXplorer)
7. launch JKSM
8. select cartridge > save data option > export > new.
it will ask a name for the folder where to save the exported savegame. pick any (the date for example). it will automatically save in a subfolder with the game's title, but if it's japanese you better use the game's title here too. ex: with zelda game, if you choose "zelda" as folder name, it will create : sd:/JKSM/Saves/The_Legend_of_Zelda/zelda/
9. select back
10. if the game has extData too, select > extra data option (for game using it) > export, and do the same than step 8.
back, back, exit.
11. DO NOT Launch CTRXplorer yet. first, select the other game you want to backup with Select,
this way gateway will find the corresponding .sav file and put it in the cartridge memory ! (not needed, but mount the game first to make it easier)
12. Launch CTRXplorer
13. locate 0004000002C23200.sav, if you plan to play that game again with gateway then rename (long press X) to the old filename, if not then quick press X to delete it.
14. go back to step 3 again
For card2 games, you don't need rename the savefile (there isn't any).
load the game in the gateway menu and launch JKSM (skip step2-6).
few things I noted while writing the guide:
1) I tried importing the SMT4 save into another game, and decrypting it, but it doesn't work. gateway probably encrypt with the titleID.
so, you really need the game for which you want to convert its save.
2) I tried exporting the SMT4 without putting the save into the gateway eproom, by loading SMT4 ROM but without SMT4's save (00040000000E5C00.sav) on SD root. I didn't launch the game once, so gateway cleared the EEPROM.
I've renamed the 00040000000E5C00.sav file to 0004000002C23200.sav and put it to SD root to be used by JKSM.
JKSM could decrypt the savegame without problem, which means it's not really extracting the save from the cartridge even if you select "cartridge" menu, but from its own savegame file. the cartridge is used only to get the savegame key to decrypt the .sav file used by JKSM.
no doubt the 1) didn't work, it doesn't really read the save in the cartridge.
Restore (untested yet!):
I didn't do it yet, never installed any cia games.
supposed step:
install cia game, launch it once to generate a savedata.
launch JKSM > select cia > select the game > import > select the savedata folder you want to restore.
Followed this guide: https://3ds.guide/installing-boot9strap-(mset) 
