It turned out, that I have the user manual still on my computer.
In a short:
Modules have to be inserted or removed in unpowered state.
Without valid program in RAM, e.g. after backup power loss, program is automatically load from a plugged-in memory module on start-up. Blinking red LED is a error message, usually it means no valid program on module. Load in progress is signaled by a flickering LED.
As previously said, a valid program can be copied to an EEPROM (not EPROM) module by pressing the copy button for at least 3 seconds. Copy execution is signaled by flickering LED. Blink signals error, e.g. invalid module.
Details can be found in chapter 5 of the S5-95U user manual.