You are right you will have to export the config from GUI:Device>Setup>Operations>Export Named config/Export config version/Export Device State. Device state will be very useful if you have the device connected to Panorama as it will have all the config including those pushed from panorama. Here is a document you can follow to replace a firewall:
As such there is no backup button. You can name a config from GUI: Device>Setup>Operations>Save named configuration snapshot and type a name, which you can export using above command.
Hope that helps.
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