JKSM is a save manager. I'm assuming you only have access to JKSM with CFW (cause that is how it normally works)
Now back to this question of yours:
not exactly a PKHeX issue is it now?
There is an unintended step regarding this, where people have been able to save to OFW from CFW.
I am not sure whether it matters if you use JKSM or Checkpoint,
so to do it, you have to re-setup your emunand, using your OFW nand.
The "link" can break at any time, and when it does, re-setup your emunand as I briefly explained above.