I have a Roland EXR-7, which I think should work the same as your EXR-5. For the first question, you probably should check the manual. I haven't really bothered much with the MIDI stuff yet, so I'm unable to answer the question.
About the split problem: Go to FUNCTION, then KB SET. Somewhere among those parameters is an SplitDual, or something like that that is set to "Auto" by default. Change it to "manual" and the problem will be solved.
Hope this helps you out.