PS2 AR Max memory card not included... Problem?

[banjo2]

My PS2 AR MAX arrived today! It said "new and unopened", though it looked like it had been sat on. All that was inside was the disc and a little yellow tag thing. I took out my memory card in case of any possible problems, and when I tried a game with codes it said that the Action Replay hardware was missing. Said nearly the same thing on settings, so on the game I pressed cancel it booted the game but without codes. I rebooted my PS2, then inserted my memory card, and tried to save my settings again. This time it worked, and I checked on the PS2 menu browser there is a PS2 AR MAX settings save. What's the AR MAX card for anyway? Can't it just save it to my memory card?