When trying to install a Wave Expansion/SuperNATURAL Expansion/Model Expansion, you must press "INSTALL" at the bottom right of the screen or press the [E6] knob to proceed to the next step and the actual installation. This will take you to the content you've placed on the USB flash memory.
For the complete procedure on how to install Wave Expansions/SuperNATURAL Expansions/Model Expansions, please read the following article: FANTOM 6, FANTOM 7, FANTOM 8: How Do I Install Model, Wave, and SuperNATURAL Expansions?
You can also download the Roland Cloud User's Guide PDF document available here: Roland - FANTOM Series | Synthesizer