I created a route at ridewithgps.com and saved the .gpx to my Garmin unit. I can open the route fine however, the cue sheet doesn't list any street names.. it just says Go South, Go Northwest, etc.

What did I do wrong?

You don't have a route map of the area loaded into your Edge 705. You either need to buy the route map from Garmin (expensive, and they nag you to update within a year; on optical disk or microSD card), or free from OpenStreetMap (garmin.openstreetmap.nl). Maps are pretty compact as long as you don't download tiles for the whole world into your GPS: the built-in memory should have more than enough capacity to handle a couple dozen map tiles.

Try saving as a TCX file. All the street name info is provided by ridewithgps in the tcx file. It works for Garmin the garmin 500.

Garmin's sd cards can't be updated. Only cd versions.