Memory cues do not exist in Lexicon. Lexicon only has regular cues.
Memory cues is something that only exists in Rekordbox. You can still send your Lexicon cues to the Rekordbox memory cue bank though. On the Sync page, choose "All to memory cue" in the "Cue Destination" option.
That's the only way to send your cues to Rekordbox memory cues. There's no way to specify this on a per-cue basis.
Videos
Check out our YouTube for videos about Lexicon.